Nonstationary Continuous-Time Processes
Chapter by Federico M. Bandi and P.C.B. Phillips (May 2002).

Estimating Functions for Discretely Sampled Diffusion-Type Models
Chapter by Bo M. Bibby, M. Jacobsen and M. Sorensen (July 2004).

 Portfolio Choice Problems
Chapter by Michael W. Brandt (August 2004).

Heterogeneity and Portfolio Choice: Theory and Evidence
Chapter by Stephanie Curcuru, J. Heaton, D. Lucas and D. Moore (September 2004).

Analysis of High Frequency Data
Chapter by Robert F. Engle and J.R. Russell (October 2002).

Simulated Score Methods and Indirect Inference for Continuous-time Models
Chapter by A. Ronald Gallant and G. Tauchen (March 2002).

 The Econometrics of Option Pricing
Chapter by Rene Garcia, E. Ghysels and E. Renault (August 2003).

Value at Risk
Chapter by Christian Gourieroux and J. Jasiak (August 2001).

Inference for Stochastic Processes
Chapter by Jean Jacod.

The Analysis of the Cross Section of Security Returns
Chapter by Ravi Jagannathan, G. Skoulakis and Z. Wang (October 2002).

MCMC Methods for Continuous-Time Financial Econometrics
Chapter by Michael Johannes and N. Polson (December 2003).

Measuring and Modeling Variation in the Risk-Return Tradeoff
Chapter by Martin Lettau and S. C. Ludvigson (December 2003).

Stock Market Trading Volume
Chapter by Andrew W. Lo and J. Wang (September 2001).

Option Pricing Bounds and Statistical Uncertainty
Chapter by Per A. Mykland (September 2003).
 
Exotic Options and Levy Processes
Chapter by Laurent Nguyen-Ngoc and M. Yor (January 2002).
 
Affine Term Structure Models
Chapter by Monika Piazzesi (March 2004).