Numerical Methods in Finance

1. Front Matter

   Pages I-XV

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2. Corporate Debt Valuation: The Structural Approach

   • Pascal François

   Pages 1-33

3. Bessel Processes and Asian Options

   • Daniel Dufresne

   Pages 35-57

4. Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty

   • Jean-Pierre Aubin, Dominique Pujal, Patrick Saint-Pierre

   Pages 59-89

5. The Robust Control Approach to Option Pricing and Interval Models: An Overview

   • Pierre Bernhard

   Pages 91-108

6. A Finite Element Method for Two Factor Convertible Bonds

   • Javier de Frutos

   Pages 109-128

7. On Numerical Methods and the Valuation of American Options

   • Mondher Bellaiah

   Pages 129-142

8. Valuing American Contingent Claims when Time to Maturity is Uncertain

   • Tony Berrada

   Pages 143-158

9. Foreign Direct Investment: The Incentive to Expropriate and the Cost of Expropriation Risk

   • Ephraim Clark

   Pages 159-171

10. Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

    • Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf

    Pages 173-191

11. A Stochastic Discount Factor-Based Approach for Fixed-Income Mutual Fund Performance Evaluation

    • Mohamed A. Ayadi, Lawrence Kryzanowski

    Pages 193-226

12. Portfolio Selection with Skewness

    • Phelim Boyle, Brian Ding

    Pages 227-240

13. Continuous Min-Max Approach for Single Period Portfolio Selection Problem

    • Nalan Gülpmar, Berç Rustem

    Pages 241-258

GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.

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