Contents Preface ix List of Speakers and Title of Talks xi Credit Barrier Models in a Discrete Framework 1 CLAUDIO ALBANESE and OLIVER X. CHEN Optimal Derivatives Design under Dynamic Risk Measures 13 PAULINE BARRIEU and NICOLE EL KAROUI On Pricing of Forward and Futures Contracts on Zero-Coupon Bonds in the Cox-Ingersoll-Ross Model 27 J:§DRZEJ BIALKOWSKI and JACEK JAKUBOWSKI Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I) 37 TOMASZ R. BIELECKI, MONIQUE JEANBLANC, and MAREK RUTKOWSKI Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II) 55 TOMASZ R. BIELECKI, MONIQUE JEANBLANC, and MAREK RUTKOWSKI Spot Convenience Yield Models for the Energy Markets 65 RENE CARMONA and MICHAEL LUDKOVSKI Optimal Portfolio Management with Consumption 81 NETZAHUALCOYOTL CASTANEDA-LEYVA and DANIEL HERNANDEZ-HERNANDEZ Some Processes Associated with a Fractional Brownian Motion 93 T. E. DUNCAN Pricing Claims on Non Thadable Assets 103 ROBERT J. ELLIOTT and JOHN VANDER HOEK Some Optimal Investment, Production and Consumption Models 115 WENDELL H. FLEMING Asian Options under Multiscale Stochastic Volatility 125 JEAN-PIERRE FOUQUE and CHUAN-HSIANG HAN A Regime Switching Model: Statistical Estimation, Empirical Evidence, and Change Point Detection 139 XIN Guo v
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