Mathematics of Derivative Securities

• Foreword R. C. Merton; Part I. Introduction: 1. Editors' introduction; 2. Stochastic calculus and Markov methods L. C. G. Rogers; 3. The risk premium in trading equilibria which support Black-Scholes option pricing S. D. Hodges and M. J. P. Selby; 4. On the numeraire portfolio P. Artzner; Part II. Option Pricing and Hedging: 5. Convergence of Snell envelopes and critical prices in the American Put N. J. Cutland, P. E. Kopp, W. Willinger and M. C. Wyman; 6. Some combination of Asian, Parisian and Barrier options M. Yor, M. Chesnay, H. Geman and M. Jeanblanc-Piqué; 7. Co-movement term structure and the valuation of crack energy spread options A. Mbanefo; 8. Pricing and hedging with Smiles B. Dupire; 9. Filtering derivative security valuations from market prices R. J. Elliott, C. H. Lahaie and D. B. Madan; 10. Option pricing in the presence of extreme fluctuations J.-P. Bouchard, D. Sornette and M. Potters; 11. Hedging long maturity commodity commitments with short-dated futures contracts M. J. Brennan and N. I. Crew; 12. Nonlinear financial markets: hedging and portfolio optimization J. Cvitanic; 13. Semimartingales and asset pricing under constraints M. Frittelli; 14. Option pricing in incomplete markets M. H. A. Davis; 15. Option pricing and hedging in discrete time with transaction costs F. Mercurio and T. C. F. Vorst; Part III. Term Structure and Interest Rate Derivatives: 16. Bond and bond option pricing based on the current term structure P. H. Dybvig; 17. Dynamic models for yield curve evolution B. Flesaker and L. P. Hughston; 18. General interest rate models and the universality of HJM M. W. Baxter; 19. Swap derivatives in a Gaussian HJM framework A. Brace and M. Musiela; 20. Modelling bonds and derivatives with default risk D. Lando; 21. Term structure modelling under alternative official regimes S. H. Babbs and N. J. Webber; 22. Interest rate distributions, yield curve modelling and monetary policy L. El-Jahel, H. Lindberg and W. Perraudin; Part IV. Numerical Methods: 23. Numerical option pricing using conditioned diffusions S. K. Gandhi and P. J. Hunt; 24. Numerical valuation of cross-currency swaps and swaptions M. A. H. Dempster and J. P. Hutton; 25. Numerical methods for stochastic control problems in finance H. J. Kushner; 26. Simulation methods for option pricing J. P. Lehoczky; 27. New methodologies for valuing derivatives S. H. Paskov.

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