Mathematics of Derivative Securities Book

	Contributors
	Foreword
	Foreword
1	Editors' Introduction	3
2	Stochastic calculus and Markov methods	15
3	Characterisation of economic equilibria which support Black-Scholes option pricing	41
4	On the numeraire portfolio	53
5	Convergence of Snell envelopes and critical prices in the American Put	61
6	Some combinations of Asian, Parisian and Barrier options	88
7	Co-movement term structure and the valuation of energy spread options	103
8	Pricing and hedging with smiles	112
9	Filtering derivative security valuations from market prices	126
10	Option pricing in the presence of extreme fluctuations	141
11	Hedging long maturity commodity commitments with short-dated futures contracts	165
12	Nonlinear financial markets: hedging and portfolio optimization	190
13	Semimartingales and asset pricing under constraints	216
14	Option pricing in incomplete markets	227
15	Option pricing and hedging in discrete time with transaction costs	255
16	Bond and bond option pricing based on the current term structure	271
17	Dynamic models for yield curve evolution	294
18	General interest-rate models and the universality of HJM	315
19	Swap derivatives in a Gaussian HJM framework	336
20	Modelling bonds and derivatives with default risk	369
21	Term structure modelling under alternative official regimes	394
22	Interest rate distributions, yield curve modelling and monetary policy	423
23	Numerical option pricing using conditioned diffusions	457
24	Numerical valuation of cross-currency swaps and swaptions	473
25	Numerical methods for stochastic control problems in finance	504
26	Simulation methods for option pricing	528
27	New methodologies for valuing derivatives	545