Printed from https://ideas.repec.org/s/spr/sprfcp2.html
Content
2012
- 273-314 More Formulas for Implied Volatility
In: Analytically Tractable Stochastic Stock Price Models
by Archil Gulisashvili - 315-345 Implied Volatility in Models Without Moment Explosions
In: Analytically Tractable Stochastic Stock Price Models
by Archil Gulisashvili
2010
- 1-19 Option Valuation and the Volatility Smile
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 1-20 Reading the Black-Scholes Formula in Terms of First and Last Passage Times
In: Option Prices as Probabilities
by Christophe Profeta & Bernard Roynette & Marc Yor - 21-43 Characteristic Functions in Option Pricing
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 21-63 Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times
In: Option Prices as Probabilities
by Christophe Profeta & Bernard Roynette & Marc Yor - 45-76 Stochastic Volatility Models
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 65-87 Representation of some particular Azéma supermartingales
In: Option Prices as Probabilities
by Christophe Profeta & Bernard Roynette & Marc Yor - 77-111 Numerical Issues of Stochastic Volatility Models
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 89-113 An Interesting Family of Black-Scholes Perpetuities
In: Option Prices as Probabilities
by Christophe Profeta & Bernard Roynette & Marc Yor - 113-133 Simulating Stochastic Volatility Models
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 115-141 Study of Last Passage Times up to a Finite Horizon
In: Option Prices as Probabilities
by Christophe Profeta & Bernard Roynette & Marc Yor - 135-152 Stochastic Interest Models
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 143-159 Put Option as Joint Distribution Function in Strike and Maturity
In: Option Prices as Probabilities
by Christophe Profeta & Bernard Roynette & Marc Yor - 153-172 Poisson Jumps
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 161-201 Existence and Properties of Pseudo-Inverses for Bessel and Related Processes
In: Option Prices as Probabilities
by Christophe Profeta & Bernard Roynette & Marc Yor - 173-202 Lévy Jumps
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 203-221 Integrating Various Stochastic Factors
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 203-237 Existence of Pseudo-Inverses for Diffusions
In: Option Prices as Probabilities
by Christophe Profeta & Bernard Roynette & Marc Yor - 223-271 Exotic Options with Stochastic Volatilities
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu - 273-317 Libor Market Model with Stochastic Volatilities
In: Applications of Fourier Transform to Smile Modeling
by Jianwei Zhu
2009
- 1-3 Introduction
In: Term-Structure Models
by Damir Filipović - 1-70 Approximative Hedging
In: Markets with Transaction Costs
by Yuri Kabanov & Mher Safarian - 3-22 Introduction
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 3-78 Continuous-Path Random Processes: Mathematical Prerequisites
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 5-28 Interest Rates and Related Contracts
In: Term-Structure Models
by Damir Filipović - 23-43 Modelling Framework
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 29-57 Estimating the Term-Structure
In: Term-Structure Models
by Damir Filipović - 45-77 Simulation Models
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 59-77 Arbitrage Theory
In: Term-Structure Models
by Damir Filipović - 71-104 Arbitrage Theory for Frictionless Markets
In: Markets with Transaction Costs
by Yuri Kabanov & Mher Safarian - 79-92 Short-Rate Models
In: Term-Structure Models
by Damir Filipović - 79-98 Valuation and Sensitivities
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 79-134 Basic Concepts and Examples in Finance
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 93-103 Heath–Jarrow–Morton (HJM) Methodology
In: Term-Structure Models
by Damir Filipović - 101-109 Computational Framework
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 105-116 Forward Measures
In: Term-Structure Models
by Damir Filipović - 105-182 Arbitrage Theory under Transaction Costs
In: Markets with Transaction Costs
by Yuri Kabanov & Mher Safarian - 111-133 Implementation
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 117-122 Forwards and Futures
In: Term-Structure Models
by Damir Filipović - 123-141 Consistent Term-Structure Parametrizations
In: Term-Structure Models
by Damir Filipović - 135-145 Architecture
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 135-210 Hitting Times: A Mix of Mathematics and Finance
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 143-195 Affine Processes
In: Term-Structure Models
by Damir Filipović - 149-157 Interest-Rate Products
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 159-169 Equity, Commodity, Inflation and FX Products
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 171-174 Credit Derivatives
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 175-180 Structures
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 183-199 Counterparty Risk Aggregation and Risk Mitigation
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 183-245 Consumption–Investment Problems
In: Markets with Transaction Costs
by Yuri Kabanov & Mher Safarian - 197-223 Market Models
In: Term-Structure Models
by Damir Filipović - 201-213 Combining Market and Credit Risk
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 211-258 Complements on Brownian Motion
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 215-229 Pricing Counterparty Credit Risk
In: Modelling, Pricing, and Hedging Counterparty Credit Exposure
by Giovanni Cesari & John Aquilina & Niels Charpillon & Zlatko Filipović & Gordon Lee & Ion Manda - 225-243 Default Risk
In: Term-Structure Models
by Damir Filipović - 247-266 Appendix
In: Markets with Transaction Costs
by Yuri Kabanov & Mher Safarian - 259-332 Complements on Continuous Path Processes
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 333-403 A Special Family of Diffusions: Bessel Processes
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 407-456 Default Risk: An Enlargement of Filtration Approach
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 457-508 Poisson Processes and Ruin Theory
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 509-550 General Processes: Mathematical Facts
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 551-590 Mixed Processes
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney - 591-646 Lévy Processes
In: Mathematical Methods for Financial Markets
by Monique Jeanblanc & Marc Yor & Marc Chesney
2006
- 1-53 Preliminaries from Probability Theory
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 3-9 The Story in a Nutshell
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 11-32 Models of Financial Markets on Finite Probability Spaces
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 33-56 Utility Maximisation on Finite Probability Spaces
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 55-98 Statistical Methods
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 57-69 Bachelier and Black-Scholes
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 71-83 The Kreps-Yan Theorem
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 85-109 The Dalang-Morton-Willinger Theorem
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 99-132 Modeling via Stochastic Processes
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 111-128 A Primer in Stochastic Integration
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 129-146 Arbitrage Theory in Continuous Time: an Overview
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 133-162 Diffusion Processes
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 149-205 A General Version of the Fundamental Theorem of Asset Pricing (1994)
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 163-203 Martingales and Stochastic Integrals
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 205-235 The Itô Formula
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 207-216 A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998)
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 217-230 The No-Arbitrage Property under a Change of Numéraire (1995)
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 231-250 The Existence of Absolutely Continuous Local Martingale Measures (1995)
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 237-275 Stochastic Differential Equations
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 251-278 The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997)
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 277-318 Introduction to Option Pricing
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 279-317 The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998)
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 319-356 A Compactness Principle for Bounded Sequences of Martingales with Applications (1999)
In: The Mathematics of Arbitrage
by Freddy Delbaen & Walter Schachermayer - 319-365 Various Approaches to Asset Pricing
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 367-402 Continuous Financial Markets
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 403-437 Portfolio Optimization
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 439-481 Modeling Stochastic Volatility
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 483-511 Minimal Market Model
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 513-549 Markets with Event Risk
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 551-613 Numerical Methods
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath - 615-665 Solutions for Exercises
In: A Benchmark Approach to Quantitative Finance
by Eckhard Platen & David Heath
2005
- 3-31 Univariate statistics
In: Risk and Asset Allocation
by Attilio Meucci - 33-99 Multivariate statistics
In: Risk and Asset Allocation
by Attilio Meucci - 101-166 Modeling the market
In: Risk and Asset Allocation
by Attilio Meucci - 169-236 Estimating the distribution of the market invariants
In: Risk and Asset Allocation
by Attilio Meucci - 237-300 Evaluating allocations
In: Risk and Asset Allocation
by Attilio Meucci - 301-359 Optimizing allocations
In: Risk and Asset Allocation
by Attilio Meucci - 363-388 Estimating the distribution of the market invariants
In: Risk and Asset Allocation
by Attilio Meucci - 389-416 Evaluating allocations
In: Risk and Asset Allocation
by Attilio Meucci - 417-461 Optimizing allocations
In: Risk and Asset Allocation
by Attilio Meucci