Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon
Professional Master's program in Computational Finance. The content of this book has been …

In this partial and selective literature review of option implied risk-neutral distributions and of
implied binomial trees, we start by observing that in efficient markets, there is information …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Abstract Britten-Jones and Neuberger (2000) derived a model-free implied volatility under
the diffusion assumption. In this article, we extend their model-free implied volatility to asset …

Integrates essential risk management practices with practical corporate business strategies
Focusing on educating readers on how to integrate risk management with corporate …

Portfolio replication is a powerful tool that has proven in practice its applicability toenterprise‐
wide risk problems such as static hedging in complete and incomplete marketsand markets …

Black-Scholes volatilities implied from market prices exhibit a strike pattern, commonly
termed a'smile', as well as a term structure. This non-constancy of volatility contradicts the …

In recent years, interest-rate modeling has developed rapidly in terms of both practice and
theory. The academic and practitioners' communities, however, have not always …

In this paper, we propose a general framework for the valuation of options in stochastic local
volatility (SLV) models with a general correlation structure, which includes the stochastic …

In this paper we present an arbitrage pricing framework for valuing and hedging contingent
equity index claims in the presence of a stochastic term and strike structure of volatility. Our …