Inspired by Finance The Musiela Festschrift [Hardcover]

The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the hot topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.This volume is dedicated to Marek Musiela, known for his contributions in modern mathematical finance. It provides a clear picture about what is going on in this fast developing field of knowledge as well as methods ready for practical implementation.R. Ahlip and M. Rutkowski: Forward Start Foreign Exchange Options under Hestons Volatility and the CIR Interest R.- A. Bensoussan and S. R. Hoe:Real Options with Competition and Incomplete Market.- T. R. Bielecki and S. Cr?pey: Dynamic Hedging of Counterparty Exposure.- L. Campi:A Note on Market Completeness with American Put Options.- S. Cawston and L. Vostrikova: An f -Divergence Approach for Optimal Portfolios in Exponential L?vy Models.- B. Chouaf and S. Pergamenchtchikov: Optimal Investment with Bounded VaR for Power Utility Functions.- T. Choulli, J. Ma and M.-A. Morlais:Three Essays on Exponential Hedging with Variable Exit Times.- S. Darses and E.l L?pinette: Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient.- N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari:Conditional Default Probability and Density.- R. Douady:Yield Curve Smoothing and Residual Variance of Fixed Income Positions.- E. Eberlein andlCŒ