Inspired by Finance

1. Front Matter

   Pages I-XXIII

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2. Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates

   • Rehez Ahlip, Marek Rutkowski

   Pages 1-27

3. Real Options with Competition and Incomplete Markets

   • Alain Bensoussan, SingRu (Celine) Hoe

   Pages 29-45

4. Dynamic Hedging of Counterparty Exposure

   • Tomasz R. Bielecki, Stéphane Crépey

   Pages 47-71

5. A Note on Market Completeness with American Put Options

   • Luciano Campi

   Pages 73-82

6. An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models

   • S. Cawston, L. Vostrikova

   Pages 83-101

7. Optimal Investment with Bounded VaR for Power Utility Functions

   • Bénamar Chouaf, Serguei Pergamenchtchikov

   Pages 103-116

8. Three Essays on Exponential Hedging with Variable Exit Times

   • Tahir Choulli, Junfeng Ma, Marie-Amélie Morlais

   Pages 117-158

9. Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient

   • Sébastien Darses, Emmanuel Lépinette

   Pages 159-199

10. Conditional Default Probability and Density

    • N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari

    Pages 201-219

11. Yield Curve Smoothing and Residual Variance of Fixed Income Positions

    • Raphaël Douady

    Pages 221-256

12. Maximally Acceptable Portfolios

    • Ernst Eberlein, Dilip B. Madan

    Pages 257-272

13. Some Extensions of Norros’ Lemma in Models with Several Defaults

    • Pavel V. Gapeev

    Pages 273-281

14. On the Pricing of Perpetual American Compound Options

    • Pavel V. Gapeev, Neofytos Rodosthenous

    Pages 283-304

15. New Approximations in Local Volatility Models

    • E. Gobet, A. Suleiman

    Pages 305-330

16. Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options

    • Peter Hepperger

    Pages 331-348

17. A Time Before Which Insiders Would not Undertake Risk

    • Constantinos Kardaras

    Pages 349-362

18. Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting

    • Paul C. Kettler, Frank Proske, Mark Rubtsov

    Pages 363-385

19. On the First Passage Time Under Regime-Switching with Jumps

    • Masaaki Kijima, Chi Chung Siu

    Pages 387-410

20. Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process

    • Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda

    Pages 411-437

The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.

• 91GXX, 91G10, 91G20, 91G30, 91G40, 91G80
• arbitrage pricing
• credit risk
• exotic options
• financial derivatives
• portfolio optimization
• quantitative finance

• Labo. Mathématiques U.F.R. des Sciences et Technologie, Université de Franche-Comté, Besancon, France

  Yuri Kabanov

• School of Mathematics & Statistics, University of Sydney, Sydney, Australia

  Marek Rutkowski

• Depts. of Mathematics and IROM, McCombs School of Business, The University of Texas at Austin, Austin, USA

  Thaleia Zariphopoulou

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