Mathematical Finance

Preface
pp. iii-v(1)
Authors: Lamberton, D.; Lapeyre, B.; Sulem, A.

First-Order Schemes in the Numerical Quantization Method
pp. 1-16(16)
Authors: Bally, V.; Pagès, G.; Printems, J.

The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
pp. 17-35(19)
Authors: Barucci, Emilio; Malliavin, Paul; Mancino, MariaElvira; Renò, Roberto; Thalmaier, Anton

Optimal Malliavin Weighting Function for the Computation of the Greeks
pp. 37-53(17)
Author: Benhamou, Eric

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
pp. 55-72(18)
Authors: Benth, FredEspen; DiNunno, Giulia; Løkka, Arne; Øksendal, Bernt; Proske, Frank

Hedging Options: The Malliavin Calculus Approach versus the Δ-Hedging Approach
pp. 73-84(12)
Author: Bermin, Hans-Peter

Local Vega Index and Variance Reduction Methods
pp. 85-97(13)
Authors: Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel

Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
pp. 99-113(15)
Authors: Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo

Error Calculus and Path Sensitivity in Financial Models
pp. 115-134(20)
Author: Bouleau, Nicolas

Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
pp. 135-151(17)
Authors: Cvitanić, Jakša; Ma, Jin; Zhang, Jianfeng

Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
pp. 153-169(17)
Author: Imkeller, Peter

An Anticipating Calculus Approach to the Utility Maximization of an Insider
pp. 171-185(15)
Authors: León, JorgeA.; Navarro, Reyla; Nualart, David

Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
pp. 187-199(13)
Authors: Talay, Denis; Zheng, Ziyu

Analysis of Error with Malliavin Calculus: Application to Hedging
pp. 201-214(14)
Author: Temam, E.