Contents:

Preface 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, Glenn Kentwell and Marc Yor 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 Interest Rate Models and Derivatives Introduction Mark Broadie and Paul Glasserman Sorting Out Swaptions Farshid Jamshidian Fit and Run Phil Hunt, Joanne Kennedy and Antoon Pelsser Gaussian Errors Chris Rogers One for All Chris Rogers Positive Interest Bjorn Flesaker and Lane Hughston When Swaps are Dropped Robert Jarrow and Stuart Turnbull Near Nirvana Peter Ritchken and L. Sankarasubramanian Lattice Works Anlong Li, Peter Ritchken and L. Sankarasubramanian Volatility and Correlation Introduction Mark Broadie and Paul Glasserman Grappling with Garch Robert Engle and Joseph Mezrich Garch for Groups Robert Engle and Joseph Mezrich Cracking the Smile Jin-Chuan Duan Growing a Smiling Tree Stanko Barle and Nusret Cakici Transatlantic Trees Neil Chriss Reconciling Differences Ronald Lagnado and Stanley Osher Pricing with a Difference Neil Chriss and Kostas Tsiveriotis Market Risk, VAR and Capital Management Introduction Mark Broadie and Paul Glasserman Going Greek with VAR Christophe Rouvine Taking VAR to pieces Mark Garman Hot Spots and Hedges (I) Robert Litterman Hot Spots and Hedges (II) Robert Litterman Thinking Coherently Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath Scale Models Francis Diebold, Andrew Hickman, Atsushi Inoue and Til Schuermann Living on the Edge Paul Embrechts, Sidney Resnick and Gennady Samorodnitsky The Cost of Conservatism Jon Danielsson, Philipp Hartmann and Casper de Vries Three Cheers Gerhard Stahl Tolerance for Risk William Morokoff, Ron Lagnado and Art Owen Index