Welcome to Volume 2, Issue 4 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix' by Riccardo Rebonato from NatWest Group; ‘Nonparametric estimation of an implied volatility surface' by James N. Bodurtha, Jr. from Georgetown University and Martin Jermakyan from Jermakyan and Associates; ‘Option valuation using the fast Fourier transform' by Peter Carr from Bank of America Securities LLC and Dilip Madan from the University of Maryland; ‘An analytical approximation for the GARCH option pricing model' by Jin-Chaun Duan from the University of Science and Technology, and Geneviève Gauthier and Jean-Guy Simonato from Ecole des Hautes Etudes Commerciales; and ‘Commentary' by Mark Rubenstein from the University of California at Berkeley.
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Comment on: "Computation of deterministic volatility surfaces", by N. Jackson, E. Süli, and S. Howison, Vol. 2(2) (Winter, 1998/99), pp. 5-32