A bewildering number of financial products have been designed to hedge against specific risks. In parallel, a variety of numerical methods have been tailored to price these instruments. This book fills a current gap in the literature by providing a central source that relates the different financial contracts as well as the corresponding numerical approaches. Covering barrier, average and lookback options, both pricing and hedging methodologies are reviewed. In addition, these options are considered for both European- and American-style exercise, and discrete and continous monitoring. Barrier...

This unique volume presents a collection of the extensive journal publications by Kai Lai Chung over his 70-year career on the occasion of his 90th birthday. The selection was made in consultation with him and is only a subset of the many contributions that he has made throughout his prolific career. Another volume, Chance and Choice, published by World Scientific in 2004, contains yet another subset, with four articles in common with this volume. Kai Lai Chung's research contributions had a major influence on several areas in probability. Among his most significant works are those related to...

In this edition two new chapters, 9 and 10, on mathematical finance are added. They are written by Dr. Farid AitSahlia, ancien eleve, who has taught such a course and worked on the research staff of several industrial and financial institutions. The new text begins with a meticulous account of the uncommon vocab- ulary and syntax of the financial world; its manifold options and actions, with consequent expectations and variations, in the marketplace. These are then expounded in clear, precise mathematical terms and treated by the methods of probability developed in the earlier chapters....