Content
2010
- 115-141 Study of Last Passage Times up to a Finite Horizon
by Christophe Profeta & Bernard Roynette & Marc Yor - 135-152 Stochastic Interest Models
by Jianwei Zhu - 143-159 Put Option as Joint Distribution Function in Strike and Maturity
by Christophe Profeta & Bernard Roynette & Marc Yor - 153-172 Poisson Jumps
by Jianwei Zhu - 161-201 Existence and Properties of Pseudo-Inverses for Bessel and Related Processes
by Christophe Profeta & Bernard Roynette & Marc Yor - 173-202 Lévy Jumps
by Jianwei Zhu - 203-221 Integrating Various Stochastic Factors
by Jianwei Zhu - 203-237 Existence of Pseudo-Inverses for Diffusions
by Christophe Profeta & Bernard Roynette & Marc Yor - 223-271 Exotic Options with Stochastic Volatilities
by Jianwei Zhu - 273-317 Libor Market Model with Stochastic Volatilities
by Jianwei Zhu
2009
- 1-3 Introduction
by Damir Filipović - 1-70 Approximative Hedging
by Yuri Kabanov & Mher Safarian - 3-22 Introduction
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 3-78 Continuous-Path Random Processes: Mathematical Prerequisites
by Monique Jeanblanc & Marc Yor & Marc Chesney - 5-28 Interest Rates and Related Contracts
by Damir Filipović - 23-43 Modelling Framework
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 29-57 Estimating the Term-Structure
by Damir Filipović - 45-77 Simulation Models
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 59-77 Arbitrage Theory
by Damir Filipović - 71-104 Arbitrage Theory for Frictionless Markets
by Yuri Kabanov & Mher Safarian - 79-92 Short-Rate Models
by Damir Filipović - 79-98 Valuation and Sensitivities
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 79-134 Basic Concepts and Examples in Finance
by Monique Jeanblanc & Marc Yor & Marc Chesney - 93-103 Heath–Jarrow–Morton (HJM) Methodology
by Damir Filipović - 101-109 Computational Framework
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 105-116 Forward Measures
by Damir Filipović - 105-182 Arbitrage Theory under Transaction Costs
by Yuri Kabanov & Mher Safarian - 111-133 Implementation
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 117-122 Forwards and Futures
by Damir Filipović - 123-141 Consistent Term-Structure Parametrizations
by Damir Filipović - 135-145 Architecture
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 135-210 Hitting Times: A Mix of Mathematics and Finance
by Monique Jeanblanc & Marc Yor & Marc Chesney - 143-195 Affine Processes
by Damir Filipović - 149-157 Interest-Rate Products
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 159-169 Equity, Commodity, Inflation and FX Products
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 171-174 Credit Derivatives
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 175-180 Structures
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 183-199 Counterparty Risk Aggregation and Risk Mitigation
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 183-245 Consumption–Investment Problems
by Yuri Kabanov & Mher Safarian - 197-223 Market Models
by Damir Filipović - 201-213 Combining Market and Credit Risk
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 211-258 Complements on Brownian Motion
by Monique Jeanblanc & Marc Yor & Marc Chesney - 215-229 Pricing Counterparty Credit Risk
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 225-243 Default Risk
by Damir Filipović - 247-266 Appendix
by Yuri Kabanov & Mher Safarian - 259-332 Complements on Continuous Path Processes
by Monique Jeanblanc & Marc Yor & Marc Chesney - 333-403 A Special Family of Diffusions: Bessel Processes
by Monique Jeanblanc & Marc Yor & Marc Chesney - 407-456 Default Risk: An Enlargement of Filtration Approach
by Monique Jeanblanc & Marc Yor & Marc Chesney - 457-508 Poisson Processes and Ruin Theory
by Monique Jeanblanc & Marc Yor & Marc Chesney - 509-550 General Processes: Mathematical Facts
by Monique Jeanblanc & Marc Yor & Marc Chesney - 551-590 Mixed Processes
by Monique Jeanblanc & Marc Yor & Marc Chesney - 591-646 Lévy Processes
by Monique Jeanblanc & Marc Yor & Marc Chesney
2006
- 1-53 Preliminaries from Probability Theory
by Eckhard Platen & David Heath - 3-9 The Story in a Nutshell
by Freddy Delbaen & Walter Schachermayer - 11-32 Models of Financial Markets on Finite Probability Spaces
by Freddy Delbaen & Walter Schachermayer - 33-56 Utility Maximisation on Finite Probability Spaces
by Freddy Delbaen & Walter Schachermayer - 55-98 Statistical Methods
by Eckhard Platen & David Heath - 57-69 Bachelier and Black-Scholes
by Freddy Delbaen & Walter Schachermayer - 71-83 The Kreps-Yan Theorem
by Freddy Delbaen & Walter Schachermayer - 85-109 The Dalang-Morton-Willinger Theorem
by Freddy Delbaen & Walter Schachermayer - 99-132 Modeling via Stochastic Processes
by Eckhard Platen & David Heath - 111-128 A Primer in Stochastic Integration
by Freddy Delbaen & Walter Schachermayer - 129-146 Arbitrage Theory in Continuous Time: an Overview
by Freddy Delbaen & Walter Schachermayer - 133-162 Diffusion Processes
by Eckhard Platen & David Heath - 149-205 A General Version of the Fundamental Theorem of Asset Pricing (1994)
by Freddy Delbaen & Walter Schachermayer - 163-203 Martingales and Stochastic Integrals
by Eckhard Platen & David Heath - 205-235 The Itô Formula
by Eckhard Platen & David Heath - 207-216 A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998)
by Freddy Delbaen & Walter Schachermayer - 217-230 The No-Arbitrage Property under a Change of Numéraire (1995)
by Freddy Delbaen & Walter Schachermayer - 231-250 The Existence of Absolutely Continuous Local Martingale Measures (1995)
by Freddy Delbaen & Walter Schachermayer - 237-275 Stochastic Differential Equations
by Eckhard Platen & David Heath - 251-278 The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997)
by Freddy Delbaen & Walter Schachermayer - 277-318 Introduction to Option Pricing
by Eckhard Platen & David Heath - 279-317 The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998)
by Freddy Delbaen & Walter Schachermayer - 319-356 A Compactness Principle for Bounded Sequences of Martingales with Applications (1999)
by Freddy Delbaen & Walter Schachermayer - 319-365 Various Approaches to Asset Pricing
by Eckhard Platen & David Heath - 367-402 Continuous Financial Markets
by Eckhard Platen & David Heath - 403-437 Portfolio Optimization
by Eckhard Platen & David Heath - 439-481 Modeling Stochastic Volatility
by Eckhard Platen & David Heath - 483-511 Minimal Market Model
by Eckhard Platen & David Heath - 513-549 Markets with Event Risk
by Eckhard Platen & David Heath - 551-613 Numerical Methods
by Eckhard Platen & David Heath - 615-665 Solutions for Exercises
by Eckhard Platen & David Heath
2005
- 3-31 Univariate statistics
by Attilio Meucci - 33-99 Multivariate statistics
by Attilio Meucci - 101-166 Modeling the market
by Attilio Meucci - 169-236 Estimating the distribution of the market invariants
by Attilio Meucci - 237-300 Evaluating allocations
by Attilio Meucci - 301-359 Optimizing allocations
by Attilio Meucci - 363-388 Estimating the distribution of the market invariants
by Attilio Meucci - 389-416 Evaluating allocations
by Attilio Meucci - 417-461 Optimizing allocations
by Attilio Meucci