Inspired by Finance: The Musiela Festschrift

Front Matter....Pages I-XXIII
Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates....Pages 1-27
Real Options with Competition and Incomplete Markets....Pages 29-45
Dynamic Hedging of Counterparty Exposure....Pages 47-71
A Note on Market Completeness with American Put Options....Pages 73-82
An f -Divergence Approach for Optimal Portfolios in Exponential Lévy Models....Pages 83-101
Optimal Investment with Bounded VaR for Power Utility Functions....Pages 103-116
Three Essays on Exponential Hedging with Variable Exit Times....Pages 117-158
Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient....Pages 159-199
Conditional Default Probability and Density....Pages 201-219
Yield Curve Smoothing and Residual Variance of Fixed Income Positions....Pages 221-256
Maximally Acceptable Portfolios....Pages 257-272
Some Extensions of Norros’ Lemma in Models with Several Defaults....Pages 273-281
On the Pricing of Perpetual American Compound Options....Pages 283-304
New Approximations in Local Volatility Models....Pages 305-330
Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options....Pages 331-348
A Time Before Which Insiders Would not Undertake Risk....Pages 349-362
Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting....Pages 363-385
On the First Passage Time Under Regime-Switching with Jumps....Pages 387-410
Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process....Pages 411-437
Multiasset Derivatives and Joint Distributions of Asset Prices....Pages 439-459
Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results....Pages 461-474
A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility....Pages 475-504
Solution of Optimal Stopping Problem Based on a Modification of Payoff Function....Pages 505-517
A Stieltjes Approach to Static Hedges....Pages 519-534
Optimal Stopping of Seasonal Observations and Projection of a Markov Chain....Pages 535-543