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Content
2023
- 1-23 Introduction
by Fred Espen Benth & Paul Krühner - 27-60 Lévy processes on Hilbert Spaces
by Fred Espen Benth & Paul Krühner - 61-91 The Filipović Space and Operators
by Fred Espen Benth & Paul Krühner - 93-107 Stochastic Integration and Partial Differential Equations
by Fred Espen Benth & Paul Krühner - 111-141 Spot Models and Forward Pricing
by Fred Espen Benth & Paul Krühner - 143-195 Heath-Jarrow-Morton Type Models
by Fred Espen Benth & Paul Krühner - 197-229 Pricing of Commodity and Energy Options
by Fred Espen Benth & Paul Krühner
2022
- 1-3 Correction to: Continuous-Time Asset Pricing Theory
by Robert A. Jarrow
2021
- 1-10 Introduction
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 3-20 Stochastic Processes
by Robert A. Jarrow - 13-21 Dynamic Programming Theory
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 21-74 The Fundamental Theorems
by Robert A. Jarrow - 23-25 The Linear Quadratic Regulator
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 27-38 A Simple Equilibrium Model
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 41-56 Time-Inconsistent Control Theory
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 57-70 Extensions and Further Results
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 71-85 Non-exponential Discounting
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 75-90 Asset Price Bubbles
by Robert A. Jarrow - 87-94 Mean-Variance Portfolios
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 91-107 Basis Assets, Multiple-Factor Beta Models, and Systematic Risk
by Robert A. Jarrow - 95-100 Time-Inconsistent Regulator Problems
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 101-107 A Time-Inconsistent Equilibrium Model
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 109-118 The Black Scholes Merton Model
by Robert A. Jarrow - 111-128 Dynamic Programming Theory
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 119-143 The Heath Jarrow Morton Model
by Robert A. Jarrow - 129-132 The Continuous-Time Linear Quadratic Regulator
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 133-137 Optimal Consumption and Investment
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 139-144 A Simple Equilibrium Model
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 145-159 Reduced Form Credit Risk Models
by Robert A. Jarrow - 147-162 Time-Inconsistent Control Theory
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 161-166 Incomplete Markets
by Robert A. Jarrow - 163-170 Special Cases and Extensions
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 169-192 Utility Functions
by Robert A. Jarrow - 171-177 Non-exponential Discounting
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 179-193 Mean-Variance Control
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 193-211 Complete Markets (Utility Over Terminal Wealth)
by Robert A. Jarrow - 195-198 The Inconsistent Linear Quadratic Regulator
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 199-216 A Time-Inconsistent Equilibrium Model
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 213-242 Incomplete Markets (Utility Over Terminal Wealth)
by Robert A. Jarrow - 219-226 Optimal Stopping in Discrete Time
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 227-236 Optimal Stopping in Continuous Time
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 239-254 Time-Inconsistent Stopping in Discrete Time
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 243-267 Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth)
by Robert A. Jarrow - 255-278 Time-Inconsistent Stopping in Continuous Time
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 271-282 Equilibrium
by Robert A. Jarrow - 279-298 Time-Inconsistent Stopping Under Distorted Probabilities
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 283-316 A Representative Trader Economy
by Robert A. Jarrow - 317-328 Characterizing the Equilibrium
by Robert A. Jarrow - 329-343 Market Informational Efficiency
by Robert A. Jarrow - 345-385 Epilogue (The Fundamental Theorems and the CAPM)
by Robert A. Jarrow - 389-399 The Trading Constrained Market
by Robert A. Jarrow - 401-404 Arbitrage Pricing Theory
by Robert A. Jarrow - 405-409 The Auxiliary Markets
by Robert A. Jarrow - 411-417 Super- and Sub-Replication
by Robert A. Jarrow - 419-432 Portfolio Optimization
by Robert A. Jarrow - 433-442 Equilibrium
by Robert A. Jarrow
2019
- 5-96 Discrete Stochastic Calculus
by Ernst Eberlein & Jan Kallsen - 97-169 Lévy Processes
by Ernst Eberlein & Jan Kallsen - 171-248 Stochastic Integration
by Ernst Eberlein & Jan Kallsen - 249-298 Semimartingale Characteristics
by Ernst Eberlein & Jan Kallsen - 299-336 Markov Processes
by Ernst Eberlein & Jan Kallsen - 337-372 Affine and Polynomial Processes
by Ernst Eberlein & Jan Kallsen - 373-403 Optimal Control
by Ernst Eberlein & Jan Kallsen - 409-437 Equity Models
by Ernst Eberlein & Jan Kallsen - 439-459 Markets, Strategies, Arbitrage
by Ernst Eberlein & Jan Kallsen - 461-535 Optimal Investment
by Ernst Eberlein & Jan Kallsen - 537-593 Arbitrage-Based Valuation and Hedging of Derivatives
by Ernst Eberlein & Jan Kallsen - 595-615 Mean-Variance Hedging
by Ernst Eberlein & Jan Kallsen - 617-661 Utility-Based Valuation and Hedging of Derivatives
by Ernst Eberlein & Jan Kallsen - 663-731 Interest Rate Models
by Ernst Eberlein & Jan Kallsen
2017
- 1-14 Prerequisites
by Emilio Barucci & Claudio Fontana - 15-54 Choices Under Risk
by Emilio Barucci & Claudio Fontana - 55-121 Portfolio, Insurance and Saving Decisions
by Emilio Barucci & Claudio Fontana - 123-200 General Equilibrium Theory and No-Arbitrage
by Emilio Barucci & Claudio Fontana - 201-253 Factor Asset Pricing Models: CAPM and APT
by Emilio Barucci & Claudio Fontana - 255-345 Multi-Period Models: Portfolio Choice, Equilibrium and No-Arbitrage
by Emilio Barucci & Claudio Fontana - 347-395 Multi-Period Models: Empirical Tests
by Emilio Barucci & Claudio Fontana - 397-477 Information and Financial Markets
by Emilio Barucci & Claudio Fontana - 479-581 Uncertainty, Rationality and Heterogeneity
by Emilio Barucci & Claudio Fontana - 583-659 Financial Markets Microstructure
by Emilio Barucci & Claudio Fontana - 661-763 Solutions of Selected Exercises
by Emilio Barucci & Claudio Fontana
2015
- 1-17 Introduction
by Antonio Mele & Yoshiki Obayashi - 19-58 Variance Contracts: Fixed Income Security Design
by Antonio Mele & Yoshiki Obayashi - 59-124 Interest Rate Swaps
by Antonio Mele & Yoshiki Obayashi - 125-209 Government Bonds and Time-Deposits
by Antonio Mele & Yoshiki Obayashi - 211-245 Credit
by Antonio Mele & Yoshiki Obayashi
2014
- 1-20 Introduction
by David Nicolay - 23-116 Volatility Dynamics for a Single Underlying: Foundations
by David Nicolay - 117-210 Volatility Dynamics for a Single Underlying: Advanced Methods
by David Nicolay - 211-270 Practical Applications and Testing
by David Nicolay - 273-322 Volatility Dynamics in a Term Structure
by David Nicolay - 323-366 Implied Dynamics in the SV-HJM Framework
by David Nicolay - 367-419 Implied Dynamics in the SV-LMM Framework
by David Nicolay - 421-428 Conclusion
by David Nicolay
2013
- 1-5 Introduction
by Gilles Zumbach - 1-8 Introduction
by Mario V. Wüthrich & Michael Merz - 3-6 Principal–Agent Problem
by Jakša Cvitanić & Jianfeng Zhang - 3-9 Notions of Mathematical Finance
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 3-15 Introduction
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 3-22 Some Classes of Discrete-Time Stochastic Processes
by Stéphane Crépey - 7-14 Single-Period Examples
by Jakša Cvitanić & Jianfeng Zhang - 7-16 Notation, Naming, and General Definitions
by Gilles Zumbach - 11-25 Elements of Numerical Methods for PDEs
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 11-33 State Price Deflators and Stochastic Discounting
by Mario V. Wüthrich & Michael Merz - 17-24 Linear Models with Project Selection, and Preview of Results
by Jakša Cvitanić & Jianfeng Zhang - 17-47 Stylized Facts
by Gilles Zumbach - 17-103 European Style Derivatives
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 23-44 Some Classes of Continuous-Time Stochastic Processes
by Stéphane Crépey - 25-43 The General Risk Sharing Problem
by Jakša Cvitanić & Jianfeng Zhang - 27-45 Finite Element Methods for Parabolic Problems
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 35-95 Spot Rate Models
by Mario V. Wüthrich & Michael Merz - 45-80 Elements of Stochastic Analysis
by Stéphane Crépey - 47-64 European Options in BS Markets
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 47-84 Mathematical Theory for General Moral Hazard Problems
by Jakša Cvitanić & Jianfeng Zhang - 49-55 Empirical Mug Shots
by Gilles Zumbach - 57-67 Process Overview
by Gilles Zumbach - 65-74 American Options
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 69-84 Logarithmic Versus Relative Random Walks
by Gilles Zumbach - 75-84 Exotic Options
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 83-122 Martingale Modeling
by Stéphane Crépey - 85-90 Interest Rate Models
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 85-113 Special Cases and Applications
by Jakša Cvitanić & Jianfeng Zhang - 85-128 ARCH Processes
by Gilles Zumbach - 91-103 Multi-asset Options
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 97-130 Stochastic Forward Rate and Yield Curve Modeling
by Mario V. Wüthrich & Michael Merz - 105-122 Stochastic Volatility Models
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 105-157 American Style Derivatives
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 115-134 An Application to Capital Structure Problems: Optimal Financing of a Company
by Jakša Cvitanić & Jianfeng Zhang - 123-143 Lévy Models
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 123-155 Benchmark Models
by Stéphane Crépey - 129-141 Stochastic Volatility Processes
by Gilles Zumbach - 131-151 Pricing of Financial Assets
by Mario V. Wüthrich & Michael Merz - 137-153 Adverse Selection
by Jakša Cvitanić & Jianfeng Zhang - 143-145 Regime-Switching Process
by Gilles Zumbach - 145-155 Sensitivities and Greeks
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 147-161 Price and Volatility Using High-Frequency Data
by Gilles Zumbach - 155-167 Actuarial and Financial Modeling
by Mario V. Wüthrich & Michael Merz - 157-182 Backward SDEs
by Jakša Cvitanić & Jianfeng Zhang - 159-176 Wavelet Methods
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 159-275 Exotic Options
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 161-197 Monte Carlo Methods
by Stéphane Crépey - 163-179 Time-Reversal Asymmetry
by Gilles Zumbach - 169-204 Valuation Portfolio
by Mario V. Wüthrich & Michael Merz - 177-196 Multidimensional Diffusion Models
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 181-196 Characterizing Heteroscedasticity
by Gilles Zumbach - 183-227 Stochastic Maximum Principle
by Jakša Cvitanić & Jianfeng Zhang - 197-203 The Innovation Distributions
by Gilles Zumbach - 197-228 Multidimensional Lévy Models
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 199-211 Tree Methods
by Stéphane Crépey - 205-209 Leverage Effect
by Gilles Zumbach - 205-259 Protected Valuation Portfolio
by Mario V. Wüthrich & Michael Merz - 211-231 Processes and Market Risk Evaluation
by Gilles Zumbach - 213-241 Finite Differences
by Stéphane Crépey - 229-245 Stochastic Volatility Models with Jumps
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 229-248 Forward-Backward SDEs
by Jakša Cvitanić & Jianfeng Zhang - 233-255 Option Pricing
by Gilles Zumbach - 243-258 Calibration Methods
by Stéphane Crépey - 247-267 Multidimensional Feller Processes
by Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter - 257-272 The Empirical Properties of Large Covariance Matrices
by Gilles Zumbach - 261-291 Simulation/Regression Pricing Schemes in Diffusive Setups
by Stéphane Crépey - 261-336 Solvency
by Mario V. Wüthrich & Michael Merz - 273-294 Multivariate ARCH Processes
by Gilles Zumbach - 277-345 Interest Rate Derivative Securities
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 293-320 Simulation/Regression Pricing Schemes in Pure Jump Setups
by Stéphane Crépey - 295-298 The Processes Compatible with the Stylized Facts
by Gilles Zumbach - 299-307 Further Thoughts
by Gilles Zumbach - 323-358 Backward Stochastic Differential Equations
by Stéphane Crépey - 337-403 Selected Topics and Examples
by Mario V. Wüthrich & Michael Merz - 349-389 Basic Numerical Methods
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 359-368 Analytic Approach
by Stéphane Crépey - 369-387 Extensions
by Stéphane Crépey - 391-419 Technical Proofs (∗∗)
by Stéphane Crépey - 391-444 Finite-Difference Methods
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 407-418 Auxiliary Considerations
by Mario V. Wüthrich & Michael Merz - 421-426 Exercises
by Stéphane Crépey - 427-439 Corrected Problem Sets
by Stéphane Crépey - 445-534 Initial-Boundary Value and LC Problems
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 535-604 Free-Boundary Problems
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun - 605-636 Interest Rate Modeling
by You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun
2012
- 1-36 Volatility Processes
by Archil Gulisashvili - 37-65 Stock Price Models with Stochastic Volatility
by Archil Gulisashvili - 67-75 Realized Volatility and Mixing Distributions
by Archil Gulisashvili - 77-108 Integral Transforms of Distribution Densities
by Archil Gulisashvili - 109-166 Asymptotic Analysis of Mixing Distributions
by Archil Gulisashvili - 167-199 Asymptotic Analysis of Stock Price Distributions
by Archil Gulisashvili - 201-225 Regularly Varying Functions and Pareto-Type Distributions
by Archil Gulisashvili - 227-242 Asymptotic Analysis of Option Pricing Functions
by Archil Gulisashvili - 243-272 Asymptotic Analysis of Implied Volatility
by Archil Gulisashvili - 273-314 More Formulas for Implied Volatility
by Archil Gulisashvili - 315-345 Implied Volatility in Models Without Moment Explosions
by Archil Gulisashvili
2010
- 1-19 Option Valuation and the Volatility Smile
by Jianwei Zhu - 1-20 Reading the Black-Scholes Formula in Terms of First and Last Passage Times
by Christophe Profeta & Bernard Roynette & Marc Yor - 21-43 Characteristic Functions in Option Pricing
by Jianwei Zhu - 21-63 Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times
by Christophe Profeta & Bernard Roynette & Marc Yor - 45-76 Stochastic Volatility Models
by Jianwei Zhu - 65-87 Representation of some particular Azéma supermartingales
by Christophe Profeta & Bernard Roynette & Marc Yor - 77-111 Numerical Issues of Stochastic Volatility Models
by Jianwei Zhu - 89-113 An Interesting Family of Black-Scholes Perpetuities
by Christophe Profeta & Bernard Roynette & Marc Yor - 113-133 Simulating Stochastic Volatility Models
by Jianwei Zhu