Contents
Preface ix
Foreword xi
Elie Ayache
Chapter 1 Time’s Up 1
Dan Tudball
Chapter 2 First Cause 11
Dan Tudball
Chapter 3 The Collector: Know Your Weapon—Part 1 23
Espen Gaarder Haug
Chapter 4 The Collector: Know Your Weapon—Part 2 43
Espen Gaarder Haug
Chapter 5 Take a Chance 59
Bill Ziemba
Chapter 6 Good and Bad Properties of the Kelly Criterion 65
Bill Ziemba
Chapter 7 Algorithms: Mathematics of Gambling and Investment. The Stochastic
Programming Approach to Managing Hedge and Pension Fund Risk,
Disasters and their Prevention 73
Bill Ziemba
Chapter 8 Efficient Estimates for Valuing American Options 91
Mike Staunton
Chapter 9 The Relative Valuation of an Equity Price Index 99
Ruben D. Cohen
Chapter 10 What the Spreadsheet Said to the Database, Just Before the Regulator
Shut Down the Trading Floor. . . 133
Brian Sentance
Chapter 11 Emotionomics: Ask Marilyn and Win a Car 137
Henriette Prast
Chapter 12 Risk: The Ugly History 141
Aaron Brown
Chapter 13 Finformatics: Thirst for Hurst 147
Kent Osband
Chapter 14 TARNs: Models, Valuation, Risk Sensitivities 153
Vladimir V. Piterbarg
Chapter 15 Fast Valuation of a Portfolio of Barrier Options under the Merton’s
Jump Diffusion Hypothesis 173
Antony Penaud
Chapter 16 An Analysis of Pricing Methods for Basket Options 181
Martin Krekel, Johan de Kock, Ralf Korn and Tin-Kwai Man
Chapter 17 Pricing CMS Spread Options and Digital CMS Spread Options with
Smile 197
Mourad Berrahoui
Chapter 18 The Case for Time Homogeneity 211
Philippe Henrotte
Chapter 19 Hybrid Stochastic Volatility Calibration 221
Domingo Tavella, Alexander Giese and Didier Vermeiren
Chapter 20 Can Anyone Solve the Smile Problem? 229
Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang
Chapter 21 Philosophy of Finance: Definitive Smile Model: Part I 265
Elie Ayache
Chapter 22 Philosophy of Finance: Definitive Smile Model: Part II 273
Elie Ayache
Chapter 23 A Perfect Calibration! Now What? 281
Wim Schoutens, Erwin Simons and Jurgen Tistaert
Chapter 24 Timing the Smile 305
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Sølna
Chapter 25 Inference and Stochastic Volatility 317
Alireza Javaheri
Chapter 26 A Critique of the Crank Nicolson Scheme Strengths and Weaknesses
for Financial Instrument Pricing 333
Daniel J. Duffy
Chapter 27 Finite Elements and Streamline Diffusion for the Pricing of Structured
Financial Instruments 351
Andreas Binder and Andrea Schatz
Chapter 28 No Fear of Jumps 365
Y. d’Halluin, D. M. Pooley and P. A. Forsyth
Index 379 |
