Mathematical finance - Bachelier congress 2000. Selected papers from the 1st world congress of the Bachelier Finance Society, Paris, France, June 29 -- July 1, 2000 (Q5952666)

The articles of this volume will be reviewed individually. Indexed articles: \textit{McKean, Henry P.}, Brownian motion and the general diffusion: Scale \& clock, 79-83 [Zbl 1011.91051] \textit{Varadhan, S. R. S.}, Rare events, large deviations, 84-92 [Zbl 0996.60034] \textit{Avellaneda, Marco; Gamba, Roberta}, Conquering the Greeks in Monte Carlo: Efficient calculation of the market sensitivities and hedge-ratios of financial assets by direct numerical simulation, 93-109 [Zbl 0996.91042] \textit{Björk, Tomas; Landén, Camilla}, On the term structure of futures and forward prices, 111-149 [Zbl 1012.91016] \textit{Brigo, Damiano; Mercurio, Fabio}, Displaced and mixture diffusions for analytically-tractable smile models, 151-174 [Zbl 1011.91052] \textit{Černý, Aleš; Hodges, Stewart}, The theory of good-deal pricing in financial markets, 175-202 [Zbl 1009.91013] \textit{Dempster, M. A. H.; Hong, S. S. G.}, Spread option valuation and the fast Fourier transform, 203-220 [Zbl 1018.91022] \textit{Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc}, The law of geometric Brownian motion and its integral, revisited; application to conditional moments, 221-243 [Zbl 1030.91029] \textit{Eberlein, Ernst; Prause, Karsten}, The generalized hyperbolic model: Financial derivatives and risk measures, 245-267 [Zbl 0996.91067] \textit{Elliott, Robert J.; van der Hoek, John}, Using the Hull and White two factor model in bank treasury risk management, 269-280 [Zbl 1011.91053] \textit{Jeanblanc, Monique; Rutkoski, Marek}, Default risk and hazard process., 281-312 [Zbl 1035.91037] \textit{Kallsen, Jan}, Utility-based derivative pricing in incomplete markets, 313-338 [Zbl 0996.91045] \textit{Moraux, Franck; Navatte, Patrick}, Pricing credit derivatives in credit classes frameworks., 339-352 [Zbl 1051.91036] \textit{Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier}, An autoregressive conditional binomial option pricing model., 353-373 [Zbl 1051.91510] \textit{Rogers, L. C. G.; Yousaf, F. A.}, Markov chains and the potential approach to modelling interest rates and exchange rates., 375-406 [Zbl 1051.91038] \textit{Roncoroni, Andrea; Guiotto, Paolo}, Theory and calibration of HJM with shape factors, 407-426 [Zbl 1007.91023] \textit{Schachermayer, Walter}, Optimal investment in incomplete financial markets, 427-462 [Zbl 1002.91033] \textit{Schwartz, Eduardo S.; Zozaya-Gorostiza, Carlos}, Evaluating investments in disruptive technologies., 463-486 [Zbl 1051.91511] \textit{Shiryaev, Albert N.}, Quickest detection problems in the technical analysis of the financial data, 487-521 [Zbl 1001.62038]