著者紹介

内容

目次

Foreword R. C. Merton; Part I. Introduction: 1. Editors' introduction;2. Stochastic calculus and Markov methods L. C. G. Rogers; 3. The riskpremium in trading equilibria which support Black-Scholes option pricing S.D. Hodges and M. J. P. Selby; 4. On the numeraire portfolio P. Artzner; PartII. Option Pricing and Hedging: 5. Convergence of Snell envelopes andcritical prices in the American Put N. J. Cutland, P. E. Kopp, W. Willingerand M. C. Wyman; 6. Some combination of Asian, Parisian and Barrier optionsM. Yor, M. Chesnay, H. Geman and M. Jeanblanc-Pique; 7. Co-movement termstructure and the valuation of crack energy spread options A. Mbanefo; 8.Pricing and hedging with Smiles B. Dupire; 9. Filtering derivative securityvaluations from market prices R. J. Elliott, C. H. Lahaie and D. B. Madan;10. Option pricing in the presence of extreme fluctuations J.-P. Bouchard, D.Sornette and M. Potters; 11. Hedging long maturity commodity commitments withshort-dated futures contracts M. J. Brennan and N. I. Crew; 12. Nonlinearfinancial markets: hedging and portfolio optimization J. Cvitanic; 13.Semimartingales and asset pricing under constraints M. Frittelli; 14. Optionpricing in incomplete markets M. H. A. Davis; 15. Option pricing and hedgingin discrete time with transaction costs F. Mercurio and T. C. F. Vorst; PartIII. Term Structure and Interest Rate Derivatives: 16. Bond and bond optionpricing based on the current term structure P. H. Dybvig; 17. Dynamic modelsfor yield curve evolution B. Flesaker and L. P. Hughston; 18. Generalinterest rate models and the universality of HJM M. W. Baxter; 19. Swapderivatives in a Gaussian HJM framework A. Brace and M. Musiela; 20.Modelling bonds and derivatives with default risk D. Lando; 21. Termstructure modelling under alternative official regimes S. H. Babbs and N. J.Webber; 22. Interest rate distributions, yield curve modelling and monetarypolicy L. El-Jahel, H. Lindberg and W. Perraudin; Part IV. Numerical Methods:23. Numerical option pricing using conditioned diffusions S. K. Gandhi and P.J. Hunt; 24. Numerical valuation of cross-currency swaps and swaptions M. A.H. Dempster and J. P. Hutton; 25. Numerical methods for stochastic controlproblems in finance H. J. Kushner; 26. Simulation methods for option pricingJ. P. Lehoczky; 27. New methodologies for valuing derivatives S. H. Paskov.