I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

This paper provides simple, analytic approximations for pricing exchange‐traded American
call and put options written on commodities and commodity futures contracts. These …

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 …

In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

No analytic solution exists for the valuation of American options written on futures contracts
and foreign currencies for which early exercise may be optimal. This article formulates the …

This work is aimed at an audience with a sound mathematical background wishing to learn
about the rapidly expanding? eld of mathematical? nance. Its content is suitable particularly …

Das Buch führt umfassend und anwendungsorientiert in die breite Palette der derivativen
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …

While there does seem to be some pricing biases during an initial seasoning period of the
SPIN and during the period immediately following the market crash of 1987, overall the …

When a new futures contract is proposed, the following two questions are often asked:(1)
who can benefit by trading in this contract and (2) how should this contract be priced? The …

This paper derives and implements a nonparametric, arbitrage-free technique for
multivariate contingent claims (MVCC) pricing. This technique is based on nonparametric …