Old and new approaches to LIBOR modeling
On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
On break-even correlation: the way to price structured credit derivatives by replication
On Calibrating Stochastic Volatility Models with time-dependent Parameters
On Equilibrium Prices in Continuous Time
On martingale measures and pricing for continuous bond-stock market with stochastic bond
On perpetual American put valuation and first-passage in a regime-switching model with jumps
On Pricing Basket Credit Default Swaps
On refined volatility smile expansion in the Heston model
On the Dybvig-Ingersoll-Ross Theorem
On the fractional Black-Scholes market with transaction costs
On the Hedging of Options On Exploding Exchange Rates
On the Penalisation Error for American Options in a Jump Model
On the semimartingale property of discounted asset-price processes
On the Stickiness Property
On the valuation of compositions in Lévy term structure models
One-Dimensional Pricing of CPPI
Optimal cross hedging for insurance derivatives
Optimal intertemporal risk allocation applied to insurance pricing
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients