Arbitrage theory / Yu. M. Kabanov
Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp
American options : symmetry properties / J. Detemple
Purely discontinuous asset price processes / D.B. Madan
Latent variable models for stochastic discount factors / R. Garcia and É. Renault
Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman
A geometric view of interest rate theory / T. Björk
Towards a central interest rate model / A. Brace, T. Dun and G. Barton
Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela
Modelling of forward Libor and swap rates / M. Rutkowski
Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski
Towards a theory of volatility trading / P. Carr and D. Madan
Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman
Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer
A guided tour through quadratic hedging approaches / M. Schweizer
Theory of portfolio optimization in markets with frictions / J. Cvitanić
Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao.
