Derivatives trading and option pricing

Abstract

Introduction Nicholas Dunbar Risk. SECTION 1: GENERIC OPTION PRICING. 1 Assets with Jumps Alexander Lipton Citadel Investment Group. 2 Why Be Backward? Peter Carr Ali Hirsa New York University Caspian Capital Management. 3 Corridor Variance Swaps Peter Carr Keith A. Lewis New York University Independent Consultant. 4 What's a Basket Worth? Peter Laurence Tai-Ho Wang University of Rome National Chung Cheng University. 5 Unifying Volatility Models Claudio Albanese Alexey Kuznetsov University of London McMaster University. 6 Smile at the Uncertainty Damiano Brigo, Fabio Mercurio, Francesco Rapisarda Banca IMI. 7 Local Cross-entropy David Edelman University College Dublin. SECTION 2: PRICING PROBLEMS IN CREDIT, EQUITIES AND INTEREST RATES. 8 I Will Survive Jon Gregory, Jean-Paul Laurent BNP Paribas. 9 All Your Hedges in One Basket Leif Andersen, Jakob Sidenius Susanta Basu Banc of America Securities Och-Ziff Capital Management. 10 A Measure of Survival Philipp J. Schonbucher ETH Zurich. 11 Market Models for CDS Options and Callable Floaters Damiano Brigo Banca IMI. 12 Index Volatility Surface via Moment-Matching Techniques Peter Lee Limin Wang Abdelkerim Karim Lehman Brothers Credit Suisse First Boston Lehman Brothers. 13 Smile Dynamics Lorenzo Bergomi Societe Generale. 14 Volatile Volatilities Leif Andersen Jesper Andreasen Banc of America Securities Nordea Markets. 15 Swap Vega in BGM: Pitfalls and Alternatives Raoul Pietersz Antoon Pelsser ABN Amro ING Group Risk Management. 16 Black Smirks Fei Zhou Lehman Brothers. 17 Correlating Market Models Bruce Choy Tim Dun Erik Schlogl Commonwealth Bank of Australia ANZ Risk Management University of Technology. SECTION 3: MARKET ANALYSIS AND QUANTITATIVE TRADING. 18 Bidding Principles Robert Almgren Neil Chriss University of Toronto SAC Capital. 19 Practical Relative-value Volatility Trading Stephen Blyth Deutsche Bank. 20 Arbitrage Under Power Michael Boguslavsky Elena Boguslavskaya ABN Amro University of Amsterdam. 21 Component Proponents II Christophe Perignon Christophe Villa Simon Fraser University ENSAI. 22 Excess Yields in Bond Hedging Haim Reisman, Gady Zohar Technion. Age of Reason or Age of Procedure? Stephen Blyth Deutsche Bank