Introduction; 1. Convergence of numerical schemes for degenerate parabolic
equations arising in finance theory G. Barles; 2. Continuous-time Monte
Carlo methods and variance reduction Nigel J. Newton; 3. Recent advances in
numerical methods for pricing derivative securities M. Broad and J.
Detemple; 4. American options: a comparison of numerical methods F.
AitSahlia and P. Carr; 5. Fast, accurate and inelegant valuation of
American options Adriaan Joubert and L. C. G. Rogers; 6. Valuation of
American options in a jump-diffusion model Xiao Lan Zhang; 7. Some
nonlinear methods for studying far-from-the-money contingent claims E.
Fournié, J. M. Lasry and P.-L. Lions; 8. Stochastic volatility models E.
Fournié, J. M. Lasry and N. Touzi; 9. Dynamic optimisation for a mixed
portfolio with transaction costs Agnès Sulem; 10. Imperfect markets and
backward stochastic differential equations N. El Karoui and M. C. Quenez;
11. Numerical methods for backward stochastic differential equations D.
Chevance; 12. Viscosity solutions and numerical schemes for
investment/consumption models with transaction costs Agnès Tourin and
Thaleia Zariphopoulou; 13. Does volatility jump or just diffuse? A
statistical approach Renzo G. Avesani and Pierre Bertrand; 14.
Martingale-based hedge error control Peter Bossaerts and Bas Werker; 15.
The use of second order stochastic dominance to bound European call prices:
theory and results Claude Henin and Nathalie Pistre.
