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- A Special Family of Diffusions: Bessel Processes
- Monique Jeanblanc, Marc Yor and Marc Chesney
- Selected Topics and Examples
- Mario V. Wüthrich and Michael Merz
- Affine and Polynomial Processes
- Ernst Eberlein and Jan Kallsen
- Epilogue (The Fundamental Theorems and the CAPM)
- Robert Jarrow
- Multi-Period Models: Empirical Tests
- Emilio Barucci and Claudio Fontana
- Basic Numerical Methods
- You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
- Analytic Approach
- Stéphane Crépey
- Estimating the distribution of the market invariants
- Attilio Meucci
- Implied Dynamics in the SV-LMM Framework
- David Nicolay
- Continuous Financial Markets
- Eckhard Platen and David Heath
- Extensions
- Stéphane Crépey
- Optimal Control
- Ernst Eberlein and Jan Kallsen
- On Expected Signatures and Signature Cumulants in Semimartingale Models
- Peter K. Friz, Paul P. Hager and Nikolas Tapia
- The Trading Constrained Market
- Robert Jarrow
- Evaluating allocations
- Attilio Meucci
- Technical Proofs (∗∗)
- Stéphane Crépey
- Finite-Difference Methods
- You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
- Information and Financial Markets
- Emilio Barucci and Claudio Fontana
- Arbitrage Pricing Theory
- Robert Jarrow
- Portfolio Optimization
- Eckhard Platen and David Heath
- The Auxiliary Markets
- Robert Jarrow
- Default Risk: An Enlargement of Filtration Approach
- Monique Jeanblanc, Marc Yor and Marc Chesney
- Auxiliary Considerations
- Mario V. Wüthrich and Michael Merz
- Equity Models
- Ernst Eberlein and Jan Kallsen
- Super- and Sub-Replication
- Robert Jarrow
- Optimizing allocations
- Attilio Meucci
- Portfolio Optimization
- Robert Jarrow
- Conclusion
- David Nicolay
- Exercises
- Stéphane Crépey
- Corrected Problem Sets
- Stéphane Crépey
- Equilibrium
- Robert Jarrow
- Markets, Strategies, Arbitrage
- Ernst Eberlein and Jan Kallsen
- Modeling Stochastic Volatility
- Eckhard Platen and David Heath
- Initial-Boundary Value and LC Problems
- You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
- Poisson Processes and Ruin Theory
- Monique Jeanblanc, Marc Yor and Marc Chesney
- Optimal Investment
- Ernst Eberlein and Jan Kallsen
- Uncertainty, Rationality and Heterogeneity
- Emilio Barucci and Claudio Fontana
- Minimal Market Model
- Eckhard Platen and David Heath
- General Processes: Mathematical Facts
- Monique Jeanblanc, Marc Yor and Marc Chesney
- Markets with Event Risk
- Eckhard Platen and David Heath
- Free-Boundary Problems
- You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
- Arbitrage-Based Valuation and Hedging of Derivatives
- Ernst Eberlein and Jan Kallsen
- Mixed Processes
- Monique Jeanblanc, Marc Yor and Marc Chesney
- Numerical Methods
- Eckhard Platen and David Heath
- Financial Markets Microstructure
- Emilio Barucci and Claudio Fontana
- Lévy Processes
- Monique Jeanblanc, Marc Yor and Marc Chesney
- Mean-Variance Hedging
- Ernst Eberlein and Jan Kallsen
- Interest Rate Modeling
- You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
- Solutions for Exercises
- Eckhard Platen and David Heath
- Utility-Based Valuation and Hedging of Derivatives
- Ernst Eberlein and Jan Kallsen
- Solutions of Selected Exercises
- Emilio Barucci and Claudio Fontana
- Interest Rate Models
- Ernst Eberlein and Jan Kallsen
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