SUMMARY

• 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

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  TABLE OF CONTENTS

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

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  CONTRIBUTORS

Robert Whaley; Edmond Levy and François Mantion; Terry Cheuk and Ton Vorst; Leif Andersen and Rupert Brotherton-Ratcliffe; Peter Carr and Andrew Chou; Marc Chesney, John Cornwall, Monique Jeanblanc-Piqué, Glenn Kentwell and Marc Yor; Vadim Linetsky; Tom Hyer, Alexander Lipton-Lifschitz and Dmitry Pugachevsky; Ronald Heynen and Harry Kat; Ajay Gupta; Donald Mintz; Robert Zvan, Kenneth Vetzal and Peter Forsyth; James Angel, Gary Gastineau and Clifford Weber; Farshid Jamshidian; Phil Hunt, Joanne Kennedy and Antoon Pelsser; Chris Rogers; Bjorn Flesaker and Lane Hughston; Robert Jarrow and Stuart Turnbull; Peter Ritchken and L. Sankarasubramanian; Anlong Li, Peter Ritchken and L. Sankarasubramanian; Mark Broadie and Paul Glasserman; Robert Engle and Joseph Mezrich; Jin-Chuan Duan; Stanko Barle and Nusret Cakici; Neil Chriss; Ronald Lagnado and Stanley Osher; Neil Chriss and Kostas Tsiveriotis; Christophe Rouvine; Mark Garman; Robert Litterman; Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath; Francis Diebold, Andrew Hickman, Atsushi Inoue and Til Schuermann; Paul Embrechts, Sidney Resnick and Gennady Samorodnitsky; Jon Danielsson, Philipp Hartmann and Casper de Vries; Gerhard Stahl; William Morokoff, Ron Lagnado and Art Owen
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