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Old and new approaches to LIBOR modeling

Economy – Quantitative Finance – Pricing of Securities
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On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets

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On break-even correlation: the way to price structured credit derivatives by replication

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On Calibrating Stochastic Volatility Models with time-dependent Parameters

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On Equilibrium Prices in Continuous Time

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On martingale measures and pricing for continuous bond-stock market with stochastic bond

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On perpetual American put valuation and first-passage in a regime-switching model with jumps

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On Pricing Basket Credit Default Swaps

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On refined volatility smile expansion in the Heston model

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On the Dybvig-Ingersoll-Ross Theorem

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On the fractional Black-Scholes market with transaction costs

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On the Hedging of Options On Exploding Exchange Rates

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On the Penalisation Error for American Options in a Jump Model

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On the semimartingale property of discounted asset-price processes

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On the Stickiness Property

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On the valuation of compositions in Lévy term structure models

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One-Dimensional Pricing of CPPI

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Optimal cross hedging for insurance derivatives

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Optimal intertemporal risk allocation applied to insurance pricing

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Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients

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