Contents : Contents
Part I. Introduction
1. Editors' introduction
2. Stochastic calculus and Markov methods
3. The risk premium in trading equilibria which support Black-Scholes option pricing
4. On the numeraire portfolio
Part II. Option Pricing and Hedging:
5. Convergence of Snell envelopes and critical prices in the American Put
6. Some combination of Asian, Parisian and Barrier options
7. Co-movement term structure and the valuation of crack energy spread options
8. Pricing and hedging with Smiles
9. Filtering derivative security valuations from market prices
10. Option pricing in the presence of extreme fluctuations
11. Hedging long maturity commodity commitments with short-dated futures contracts
12. Nonlinear financial markets: hedging and portfolio optimization
13. Semimartingales and asset pricing under constraints
14. Option pricing in incomplete markets
15. Option pricing and hedging in discrete time with transaction costs
Part III. Term Structure and Interest Rate Derivatives:
16. Bond and bond option pricing based on the current term structure
17. Dynamic models for yield curve evolution
18. General interest rate models and the universality of HJM
19. Swap derivatives in a Gaussian HJM framework
20. Modelling bonds and derivatives with default risk
21. Term structure modelling under alternative official regimes
22. Interest rate distributions, yield curve modelling and monetary policy
23. Numerical option pricing using conditioned diffusions
24. Numerical valuation of cross-currency swaps and swaptions
25. Numerical methods for stochastic control problems in finance
26. Simulation methods for option pricing
27. New methodologies for valuing derivatives

Nbre volumes : 1

Language : English

Place of publishing : CAMBRIDGE

Figure(s) : Graphique(s) ; Tableau(x)

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque