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 …

This set of lecture notes is concerned with the following pair of ideas and concepts: 1. The
Skorokhod Embedding problem (SEP) is, given a stochastic process X=(X t) t≥ 0 and a …

Crisis events such as the 1987 stock market crash, the Asian Crisis and the bursting of the
Dot-Com bubble have radically changed the view that extreme events in financial markets …

In this paper we investigate the possible values of basket options. Instead of postulating a
model and pricing the basket option using that model, we consider the set of all models …

Traders in the nineteenth century appear to have priced options the same way that twenty-
first-century traders price options. Empirical regularities relating implied volatility to realized …

In option pricing, it is customary to first specify a stochastic underlying model and then
extract valuation equations from it. However, it is possible to reverse this paradigm: starting …

In this paper we investigate the possible values of basket options. Instead of postulating a
model and pricing the basket option using that model, we consider the set of all models …

This article examines the pricing and hedging of mandatory convertible bonds on the US
market using daily market prices for a period of 498 trading days resulting in a sample of …

The scenario of established business sellers utilizing online auction markets to reach
consumers and sell new products is becoming increasingly common. We propose a class of …

Simulation methods are extensively used in Asset Pricing and Risk Management. The most
popular of these simulation approaches, the Monte Carlo, requires model selection and …