| contributors preface about the editors about the contributors 1 levy processes in finance distinguished by their coarse and fine path properties andreas ekyprianou and rloeffen 1.1 introduction 1.2 levy processes 1.3 examples of levy processes in finance 1.4 path properties 1.5 examples revisited 1.6 conclusions references 2 simulation methods with levy processes nick webber 2.1 introduction 2.2 modelling price and rate movements 2.3 a basis for a numerical approach 2.4 constructing bridges for levy processes 2.5 valuing discretely reset path-dependant options 2.6 valuing continuously reset path-dependent options 2.7 conclusions .3 risks in returns: a pure jump perspective helyette geman and dilip bmadan 3.1 introduction 3.2 cgmy model details 3.3 estimation details 3.4 estimation results 3.5 conclusions references 4 model risk for exotic and moment derivatives wim schoutens, erwin simons and jurgen tistaert 4.1 introduction 4.2 the models 4.3 calibration 4.4 simulation 4.5 pricing of exotic options 4.6 pricing of moment derivatives 4.7 conclusions references 5 symmetries and pricing of exotic options in levy models ernst eberlein and antonis papapantoleon 5.1 introduction 5.2 model and assumptions 5.3 general description of the method 5.4 vanilla options 5.5 exotic options 5.6 margrabe-type options references 6 static hedging of asian options under stochastic volatility models using fast fourier transform hansjorg albrecher and wim schoutens 6.1 introduction 6.2 stochastic volatility models 6.3 static hedging of asian options 6.4 numerical implementation 6.5 numerical illustrations 6.6 a model-independent static super-hedge 6.7 conclusions references 7 impact of market crises on real options pauline barrieu and nadine bellamy 7.1 iontroduction 7.2 the model 7.3 the real option characteristics 7.4 optimal discount rate and average waiting time 7.5 robustness of the inverstment decision characters 7.6 contiuos models versus discontinuous model 7.7 conclusions references 8 moment derivatives and levy-type market completion jose manuel corcuera, david nualart and wim schoutens 8.1 introduction 8.2 market completuion in the descrete-time setting 8.3 the levy market 8.4 enlarging the levy market model 8.5 arbitrage 8.6 optimal portfolios references 9 pricing perpetual american options driven by spectrally one-sided levy processes terence chan 9.1 introduction 9.2 first-passage distributions and other results for spectrally positive levy 9.3 description of the model, basic definitions and notations 9.4 a renewal equation approach to pricing 9.5 explicit pricing formulae for american puts 9.6 some specific examples appendix: use of fast fourier transform references epilogue further references 10 on asian options of american type goran peskir and nadia uys 10.1 introduction 10.2 formulation of the problem 10.3 the result and proof 10.4 remarks on numerics appendix references 11 why be backward? forward equations for american options peter carr and ali hirsa 11.1 introduction 11.2 reveiw of the backward free boundary problem 11.3 stationarity and domain extension in the maturity direction 11.4 additivity and domain extension in the strike direction 11.5 the forward free boundary problem 11.6 summary and future research appendix: discretization of forward equation for american options references 12 numerical valuation of american options under the cgmy process ariel almendral 12.1 introduction 12.2 the cgmy process as a levy process 12.3 numerical valuation of the american cgmy price 12.4 numerical experiments appendix: analytic formula for european option prices references 13 convertible bonds: financial derivatives of game type jan kallsen and christoph kuhn 13.1 introduction 13.2 no-arbitrage pricing for game contigent claims 13.3 convertible bonds 13.4 conclusions references 14 the spread option optimal stopping game pavel vgapeev 14.1 introduction 14.2 formulation of the problem 14.3 solution of the free-boundary problem 14.4 main result and proof 14.5 conclusions references index |
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