Yuri Kabanov & Marek Rutkowski 
Inspired by Finance 
The Musiela Festschrift

The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the ‘hot’ topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.

Table of Content

R. Ahlip and M. Rutkowski: Forward Start Foreign Exchange Options under Heston’s Volatility and the CIR Interest R.- A. Bensoussan and S. R. Hoe:Real Options with Competition and Incomplete Market.- T. R. Bielecki and S. Crépey: Dynamic Hedging of Counterparty Exposure.- L. Campi:A Note on Market Completeness with American Put Options.- S. Cawston and L. Vostrikova: An f -Divergence Approach for Optimal Portfolios in Exponential Lévy Models.- B. Chouaf and S. Pergamenchtchikov: Optimal Investment with Bounded Va R for Power Utility Functions.- T. Choulli, J. Ma and M.-A. Morlais:Three Essays on Exponential Hedging with Variable Exit Times.- S. Darses and E.l Lépinette: Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient.- N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari:Conditional Default Probability and Density.- R. Douady:Yield Curve Smoothing and Residual Variance of Fixed Income Positions.- E. Eberlein and D. B. Madan: Maximally Acceptable Portfolios.- P. V. Gapeev: Some Extensions of Norros’ Lemma in Models with Several Defaults.- P. V. Gapeev and N. Rodosthenous:On the Pricing of Perpetual American Compound Options.- E. Gobet and A. Suleiman: New Approximations in Local Volatility Models.- P. Hepperger: Low-Dimensional Partial Integro-Differential Equations for High-Dimensional Asian Options.- C. Kardaras: A Time Before Which Insiders Would Not Undertake Risk.- P.l C. Kettler, F. Proske, M. Rubtsov: Sensitivity with Respect to the Yield Curve:Duration in a Stochastic Setting.- M. Kijima and C. Ch. Siu:On the First Passage Time under Regime-Switching with Jumps.- A. Kohatsu-Higa, N. Vayatis, K. Yasuda: Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process.- I. Molchanov and M. Schmutz:Multiasset Derivatives and Joint Distributions of Asset Prices.- A. A. Novikov, T. G. Ling and N. Kordzakhia: Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results.- S. Nadtochiy and Th. Zariphopoulou: A Class of Homothetic Forward Investment Performance Processes with Non-Zero Volatility.- E. Presman: Solution of Optimal Stopping Problem Based on a Modification of Payoff Function.- M. Schmutz and Th. Zürcher:A Stieltjes Approach to Static Hedges.- I. M. Sonin:Optimal Stopping of Seasonal Observations and Projection of a Markov Chain.​