Hedging With Trees
Advances in Pricing and Risk Managing Derivatives :A useful collection of 35+ articles encapsulating recent advances in financial derivatives, selected by two well-respected academics.
The best articles on innovations in financial derivatives published in Risk magazine, 1996-98
Includes advances in exotic options, computational techniques, VAR and capital management
Contents of Hedging With Trees :Advances in Pricing and Risk Managing Derivatives :
Exotic Options:
Introduction - Mark Broadie and Paul Glasserman,
Building on Black–Scholes - Robert Whaley,
Discrete by Nature - Edmond Levy and François Mantion,
Breaking Down Barriers - Terry Cheuk and Ton Vorst,
Exact Exotics - Leif Andersen and Rupert Brotherton-Ratcliffe,
Breaking Barriers - Peter Carr and Andrew Chou,
Parisian Pricing - Marc Chesney, John Cornwall, Monique Jeanblanc-Piqué
Steps to the Barrier - Vadim Linetsky,
Passport to Success - Tom Hyer, Alexander Lipton-Lifschitz and Dmitry Pugachevsky,
Brick by Brick - Ronald Heynen and Harry Kat,
On Neutral Ground - Ajay Gupta,
Less is More - Donald Mintz,
Swing Low, Swing High - Robert Zvan, Kenneth Vetzal and Peter Forsyth,
Flexible Friends - James Angel, Gary Gastineau and Clifford Weber
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