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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