Table of Contents
The Generalization of the Black--Scholes Equation. Contingent Claims of the European Type. The Wiener--Hopf Factorization and Perpetual American Options. Barrier Options. American Options: Finite Time Horizon. Bermudan Options. Asian Options. Locally Risk-Minimizing Hedging. American Options in Regime-Switching Models. Models with Stochastic Interest Rates and Stochastic Volatility Models. Affine and Quadratic Term Structure Models. The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models.
University of Texas, Austin, Texas, USA
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