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Pt. 1 Option Pricing and Volatility Modeling
Ch. 1 A Moment Approach to Static Arbitrage Alexandre d'Aspremont d'Aspremont, Alexandre
Ch. 2 On Black-Scholes Implied Volatility at Extreme Strikes Shalom Benaim Benaim, Shalom Peter Friz Friz, Peter Roger Lee Lee, Roger
Ch. 3 Dynamic Properties of Smile Models Lorenzo Bergomi Bergomi, Lorenzo
Ch. 4 A Geometric Approach to the Asymptotics of Implied Volatility Pierre Henry-Labordere Henry-Labordere, Pierre
Ch. 5 Pricing, Hedging, and Calibration in Jump-Diffusion Models Peter Tankov Tankov, Peter Ekaterina Voltchkova Voltchkova, Ekaterina
Pt. 2 Credit Risk
Ch. 6 Modeling Credit Risk L. C. G. Rogers Rogers, L. C. G.
Ch. 7 An Overview of Factor Modeling for CDO Pricing Jean-Paul Laurent Laurent, Jean-Paul Areski Cousin Cousin, Areski
Ch. 8 Factor Distributions Implied by Quoted CDO Spreads Erik Schlogl Schlogl, Erik Lutz Schlogl Schlogl, Lutz
Ch. 9 Pricing CDOs with a Smile: The Local Correlation Model Julien Turc Turc, Julien Philippe Very Very, Philippe
Ch. 10 Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches Kay Giesecke Giesecke, Kay
Ch. 11 Forward Equations for Portfolio Credit Derivatives Rama Cont Cont, Rama Ioana Savescu Savescu, Ioana
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