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Mathematical Finance - Bachelier Congress 2000

Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000

  • Book
  • © 2002

Overview

Editors:
  1. Hélyette Geman

    1. CEREMADE, UMR CNRS 7534, Université Paris IX-Dauphine, Paris Cedex 16, France
      Groupe ESSEC, Cergy-Pontoise Cedex, France

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  2. Dilip Madan

    1. Robert H. Smith School of Business, University of Maryland, College Park, USA

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  3. Stanley R. Pliska

    1. Department of Finance, University of Illinois, Chicago, USA

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  4. Ton Vorst

    1. Erasmus Universiteit Rotterdam, Rotterdam, The Netherlands

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Part of the book series: Springer Finance (FINANCE)

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Table of contents (22 chapters)

  1. Front Matter

    Pages I-X
    Download chapter PDF

  2. Bachelier and His Times: A Conversation with Bernard Bru

    • Murad S. Taqqu
    Pages 1-39

  3. Modern Finance Theory Within One Lifetime

    • Paul Samuelson
    Pages 41-45

  4. Future Possibilities in Finance Theory and Finance Practice

    • Robert C. Merton
    Pages 47-73

  5. Brownian Motion and the General Diffusion: Scale & Clock

    • Henry P. McKean
    Pages 75-83

  6. Rare Events, Large Deviations

    • S. R. S. Varadhan
    Pages 85-92

  7. Conquering the Greeks in Monte Carlo: Efficient Calculation of the Market Sensitivities and Hedge-Ratios of Financial Assets by Direct Numerical Simulation

    • Marco Avellaneda, Roberta Gamba
    Pages 93-109

  8. On the Term Structure of Futures and Forward Prices

    • Tomas Björk, Camilla Landén
    Pages 111-149

  9. Displaced and Mixture Diffusions for Analytically-Tractable Smile Models

    • Damiano Brigo, Fabio Mercurio
    Pages 151-174

  10. The Theory of Good-Deal Pricing in Financial Markets

    • AleÅ¡ ÄŒerný, Stewart Hodges
    Pages 175-202

  11. Spread Option Valuation and the Fast Fourier Transform

    • M. A. H. Dempster, S. S. G. Hong
    Pages 203-220

  12. The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments

    • Catherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor
    Pages 221-243

  13. The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures

    • Ernst Eberlein, Karsten Prause
    Pages 245-267

  14. Using the Hull and White Two Factor Model in Bank Treasury Risk Management

    • Robert J. Elliott, John van der Hoek
    Pages 269-280

  15. Default Risk and Hazard Process

    • Monique Jeanblanc, Marek Rutkowski
    Pages 281-312

  16. Utility-Based Derivative Pricing in Incomplete Markets

    • Jan Kallsen
    Pages 313-338

  17. Pricing Credit Derivatives in Credit Classes Frameworks

    • Franck Moraux, Patrick Navatte
    Pages 339-352

  18. An Autoregressive Conditional Binomial Option Pricing Model

    • Jean-Luc Prigent, Olivier Renault, Olivier Scaillet
    Pages 353-373

  19. Markov Chains and the Potential Approach to Modelling Interest Rates and Exchange Rates

    • L. C. G. Rogers, F. A. Yousaf
    Pages 375-406

  20. Theory and Calibration of HJM with Shape Factors

    • Andrea Roncoroni, Paolo Guiotto
    Pages 407-426
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Keywords

Editors and Affiliations

  • CEREMADE, UMR CNRS 7534, Université Paris IX-Dauphine, Paris Cedex 16, France

    Hélyette Geman

  • Groupe ESSEC, Cergy-Pontoise Cedex, France

    Hélyette Geman

  • Robert H. Smith School of Business, University of Maryland, College Park, USA

    Dilip Madan

  • Department of Finance, University of Illinois, Chicago, USA

    Stanley R. Pliska

  • Erasmus Universiteit Rotterdam, Rotterdam, The Netherlands

    Ton Vorst

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