Option pricing, interest rates and risk management

Contents

• Introduction

• 1. Arbitrage theory Yu. M. Kabanov
• 2. Market models with frictions: arbitrage and pricing issues E. Jouini and C. Napp
• 3. American options: symmetry properties J. Detemple
• 4. Purely discontinuous asset price processes D. Madan
• 5. Latent variable models for stochastic discount factors R. Garcia and É. Renault
• 6. Monte Carlo methods for security pricing P. Boyle, M. Broadie and P. Glasserman

• 7. A geometric view of interest rate theory T. Bjork
• 8. Towards a central interest rate model A. Brace, T. Dun and G. Barton
• 9. Infinite dimensional diffusions, Kolmogorov equations and interest rate models B. Goldys and M. Musiela
• 10. Libor market model with semimartingales F. Jamshidian
• 11. Modeling of forward Libor and swap rates M. Rutkowski

• 12. Credit risk modeling, intensity based approach T. Bielecki and M. Rutkowski
• 13. Towards a theory of volatility trading P. Carr and D. Madan
• 14. Shortfall risk in long-term hedging with short-term futures contracts P. Glasserman
• 15. Numerical comparison and local risk-minimisation and mean-variance hedging D. Heath, E. Platen and M. Schweizer
• 16. A guided tour through quadratic hedging approaches M. Schweizer

• 17. Theory of portfolio optimization in markets with frictions J. Cvitanic
• 18. Bayesian adaptive portfolio optimization I. Karatzas and X. Zhao.