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Quantitative Finance, Volume 4 Issue 5 2004

Title: New Directions in Option Pricing

Increasing to 10 issues in 2010
ISSN: 1469-7696 (electronic) 1469-7688 (paper)
Publication Frequency: 8 issues per year
Publisher: Routledge
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Feature
A look ahead at options pricing and volatility
Marco Avellaneda
Page 51
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Research Paper
A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction
Emmanuel Jurczenko;  Bertrand Maillet; Bogdan Negrea
Pages 479 – 488
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Preface
Preface
J. P. Bouchaud
Page C49
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Feature
Calendar
Page C55
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Research Papers
Adaptive mixture for a controlled smile: the LT model
Nadhem Meziou
Pages 489 – 498
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A non-Gaussian option pricing model with skew
Lisa Borland; Jean-Philippe Bouchaud
Pages 499 – 514
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Option valuation with infinitely divisible distributions
Steven L. Heston
Pages 515 – 524
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Early exercise boundary and option prices in Lévy driven models
S. Z. Levendorski
Pages 525 – 547
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Hedging European and Barrier options using stochastic optimization
Michael Villaverde
Pages 549 – 557
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Delta-hedging vega risk?
Stéphane Crépey
Pages 559 – 579
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From local volatility to local Lévy models
Peter Carr;  Helyette Geman;  Dilip B. Madan; Marc Yor
Pages 581 – 588
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GARCH and Volatility swaps
Alireza Javaheri;  Paul Wilmott; Espen G. Haug
Pages 589 – 595
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Feature
A look ahead at options pricing and volatility
Marco Avellaneda
Pages C51 – C54
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Research Papers
Option pricing and hedging with minimum local expected shortfall
Benoit Pochart; Jean-Philippe Bouchaud
Pages 607 – 618
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A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction
Emmanuel Jurczenko;  Bertrand Maillet; Bogdan Negrea
Pages 479 – 488
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Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
Jean-Pierre Fouque; Chuan-Hsiang Han
Pages 597 – 606
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