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Stochastic models
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#	Item
601	Rational Term Structure Models with Geometric L´ evy Martingales Ewan Mackie Imperial College Business School, Imperial College London, London SW7 2AZ Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-21 11:05:35 Martingale theory Wiener process Heath–Jarrow–Morton framework Statistics Stochastic processes Mathematical finance
602	Pricing Options on Realized Variance in L´evy Models Martin Keller-Ressel ETH Z¨ urich based on joint work with Johannes Muhle-Karbe Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-20 15:11:10 Mathematical sciences Data analysis Banking Variance swap Realized variance Variance Normal distribution Quadratic variation Volatility Statistics Mathematical finance Stochastic processes
603	Conditional Density Models for Asset Pricing Lane P. Hughston Department of Mathematics Imperial College London London SW7 2AZ, United Kingdom [removed] Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-23 17:13:36 Lane P. Hughston Option Stochastic volatility Futures contract Volatility Risk-neutral measure Fokker–Planck equation Mathematical finance Financial economics Finance
604	Discrete time hedging Ingredients Results Heston model Discrete Dynamic Strategies in Affine Models Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-20 13:17:49 Differential geometry Affine geometry Connection Mathematical finance Options Stochastic volatility
605	Risk Measures in non-dominated Models Magali Kervarec Purpose: Study Risk Measures taking into account the model uncertainty in mathematical finance. Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-19 15:40:08 Actuarial science Financial economics Mathematical sciences Game theory Martingale Martingale theory Risk Coherent risk measure Black–Scholes Statistics Stochastic processes Mathematical finance
606	Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models Scott Robertson Carnegie Mellon University [removed] Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-19 13:08:18 Options Finance Stochastic processes Stochastic volatility Heston model Importance sampling Black–Scholes Volatility Monte Carlo method Mathematical finance Financial economics Statistics
607	Performance Modeling and Design of Computer Systems Mor Harchol-Balter Please direct errors and suggestions to [removed] Add to Reading List Source URL: www.cs.cmu.edu Language: English - Date: 2011-08-25 18:39:44 Queueing theory Markov models Markov processes Markov chain Queueing model Product form solution Random walk Continuous-time Markov process M/M/1 queue Statistics Stochastic processes Probability theory
608	V Contents Preface to the Second Edition IX Preface to the First Edition XI 1 Add to Reading List Source URL: media.wiley.com Language: English - Date: 2009-11-03 07:07:12 Mathematics Numerical analysis Randomness Variance reduction Markov models Monte Carlo integration Importance sampling Markov chain Stochastic Statistics Probability and statistics Monte Carlo methods
609	Overprized options on variance swaps in local vol models Mathias Beiglb¨ock, joint with Peter Friz and Stephan Sturm Universit¨ at Wien June 2010 Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-17 12:19:04 Volatility Law Martingale Statistics Stochastic processes Local volatility
610	Calibrating affine stochastic volatility models with jumps - An asymptotic approach Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-21 11:05:11 Mathematical sciences Volatility Stochastic volatility Quantitative analyst Stochastic Financial market Mathematical finance Finance Financial economics

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