Jeanblanc M., Yor M., Chesney M. Mathematical Methods for Financial Markets

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B.4 Hitting Times 711

B.2.3 CEV Processes

Boyle and Tian [121], Campi [138, 139], Cox [205], Davydov and Linetsky

[225, 227], Delbaen and Shirakawa [238], Emanuel and MacBeth [320], Lewis

[587], Hagan et al. [417, 418], Heath and Platen [428], Linetsky [592, 591], Lo

et al. [601], Schroder [772].

B.2.4 Bessel Processes

Aquilina and Rogers [22], Carmona [140] Chen and Scott [164], Dassios and

Nagaradjasarma [214], Deelstra and Parker [229], Delbaen [230], Davydov

and Linetsky [225], Delbaen and Shirakawa [238], Dufresne [279], Duﬃe and

Singleton [275], Grasselli [402], Heath and Platen [428], Geman and Yor [383],

Going-Jaeschke and Yor [385], Hirsch and Song [437], Leblanc [572], Linetsky

[594], Pitman and Yor [715, 717], Shirakawa [790].

B.3 Processes with Discontinuous Paths

B.3.1 Some Books

Bichteler [88], Br´emaud [124], Dellacherie and Meyer [242, 244], He et al. [427],

Jacod and Shiryaev [471], Kallenberg [505], Prigent [725], Protter, version 2.1.

[727], Shiryaev [791].

B.3.2 Survey Papers

Bass [57, 58], Kunita [549], Runggaldier [750].

B.4 Hitting Times

Alili and Kyprianou [8], Alili et al. [10], Bachelier [39, 40], Barndorﬀ-Nielsen

et al. [52], Biane, Pitman and Yor [85], Borodin and Salminen [109], Borovkov

and Burq [110], Breiman [122], Daniels [210], Dozzi and Vallois [265], Durbin

[285], Ferebee [344], Freedman [357], Geman and Yor [384], Going-Jaeschke

and Yor [397], Groeneboom [409], Hobson et al. [445], Iyengar [466], Jennen

and Lerche [491, 492], Kent [519, 520, 521], Kou and Wang [541, 542],

Kunitomo and Ikeda [551], Knight [528], Lerche [581], Linetsky [591, 592],

Mordecki [659], Novikov [678], Patras [698], Peskir and Shiryaev [708], Pitman

and Yor [715, 719], Ricciardi et al. [731, 732], Robbins and Siegmund [734],

Roynette et al. [745], Salminen [753] Siegmund and Yuh [798], Yamazato [854].

712 B Some Papers and Books on Speciﬁc Subjects

B.5 L´evy Processes

B.5.1 Books

Applebaum [21], Bertoin [78], Boyarchenko and Levendorskii [120], Cont

and Tankov [192], Doney [260], Jacod and Shiryaev [471], Kyprianou [553],

Overhaus et al. [690], Sato [761], Schoutens [766],

B.5.2 Some Papers

Alili and Kyprianou [8], Asmussen et al. [24], Avram et al.[31, 32], Barndorﬀ-

Nielsen et al. [53, 54, 55], Bertoin [80, 81, 79], Bingham [100], Boyarchenko and

Levendorskii [118, 119, 117], Carr et al. [155, 150], Chan [160, 159], Cherny and

Shiryaev [170], Chesney and Jeanblanc [174], Corcuera et al. [195], Eberlein

[289, 293, 292], Fajardo and Mordecki [339], Geman et al. [380, 381], Goll

and Kallsen [400], Greenwood and Pitman [407], Hilberink and Rogers [435],

Kl¨uppelberg et al. [526], Kyprianou and coauthors [554, 555], Madan and

coauthors [155

, 609, 610, 612], Mordecki [659], Nguyen-Ngoc and Yor [670,

671], Nualart and Schoutens [682], Øksendal and Sulem [685], Sato [762],

Skorokhod [801, 802], Zolotarev [878].

B.6 Some Books on Finance

B.6.1 Discrete Time

Avellaneda and Laurence [28], Elliott and Van der Hoek [318], F¨ollmer and

Schied [350], Pliska [721], Koch Medina and Merino [531], Mel’nikov [638],

Shreve [794].

B.6.2 Continuous Time

Avellaneda and Laurence [28], Bingham and Kiesel [101], Bj¨ork [102], Dana

and Jeanblanc [209], Elliott and Kopp [316], Hunt and Kennedy [455],

Kallianpur and Karandikar [506], Karatzas and Shreve [514], Lamberton and

Lapeyre [559], Lewis [587], Musiela and Rutkowski [661], Overhaus et al.

[688, 690], Portait and Poncet [723], Williams [845], Shreve [795].

B.6.3 Collective Books

The Shiryaev Festschrift [501], the Madan Festschrift [365], Paris-Princeton

Lectures [143, 144, 145], Bressanone courses [363, 749], volume in honor

of D. Sondermann, [759], Ritsumeikan conferences [2, 3, 4, 5], Option

pricing, Interest Rates and Risk Management [498], Isaac Newton Institute

Publications [248, 249], Trends in Mathematics [535], Bachelier Conference

2000 [378], IMA [218]

B.8 Exotic Options 713

B.6.4 History

Bachelier [39, 41], Broadie and Detemple [129], Davis [221], Embrechts [321],

Girlich [392], Gobet [395, 396], Jarrow and Protter [480], Merton [644], Rogers

[738], Samuelson [758], Rogers [738], Scholes [764] Taqqu [819]

B.7 Arbitrage

Bj¨ork [102], B¨uhlmann et al. [136], Cherny [167], Cherny and Shiryaev [170],

Delbaen and Schachermayer [236, 233, 235], Harrison and Kreps [421], Imkeller

et al. [458], Kabanov [500], Levental and Skorokhod [583], Rogers [737]

Selivanov [778], Schachermayer [763], Stricker [809], Xia and Yan [851, 852].

B.8 Exotic Options

B.8.1 Books

Bhansali [84], Brockaus et al. [689], Detemple [252], Haug [425], Lewis [587],

Lipton [596], Musiela and Rutkowski [661], Taleb [818], Wilmott et al. [847,

846].

B.8.2 Articles

Asian Options: Bayraktar, E. and Xing, H. [62], Boughamoura et al.

[113], Bellamy [69], Buecker and Kelly-Lyth [135], Chan [160], Dassios and

Nagaradjasarma [214], Donati Martin et al. [259], Dufresne [279, 280, 281],

Geman and Yor [383, 384], Henderson [430, 432], Rogers and Shi [740],

Schr¨oder [771, 767].

American Options: Asmussen et al. [24], Boyarchenko and Levendorski

[119], Carr and coauthors [149, 155], Detemple [252] Villeneuve [829], Zhang

[872].

Barrier Options: Andersen et al. [16], Avram and Chan [31], Baldi et al. [42],

Boyarchenko and Levendorski [118], Broadie et al. [130], Carr and coauthors

[148], Davydov and Linetsky [226], Kunitomo and Ikeda [

551], Heynen and

Kat [434], Pelsser [704], Rich [733], Roberts and Shortland [735], Rubinstein

and Reiner [746], Sepp [781], Schr¨oder [768], Suchanecki [814].

Parisian Options: Anderluh and Van der Weide [14, 15], Avellaneda and

Wu [30], Bernard et al.[77], Chesney et al. [175], Cornwall et al. [196], Dassios

[213], Dassios and Wu [217], Schr¨oder [770].

714 B Some Papers and Books on Speciﬁc Subjects

Various: Boyle and Tian [121], Conze and Viswanathan [193], Dassios [211],

Davydov and Linetsky [227], Delbaen and Yor [239], Douady [262, 263], El

Karoui and coauthors [297, 300, 298], Fujita et al. [367], Fusai [371, 370],

Garman and Kohlhagen [373], Goldman et al. [399], Guo and Shepp [412], He

et al. [426], Henderson and Hobson [431], Lo et al. [600], Linetsky [593, 592],

Nguyen-Ngoc and Yor[670].

Index of Authors

Akahori, J., 114, 119

Alili, L., 153–155, 280, 375, 646, 710,

711

Alphonsi,A., 446

Alziary, B., 391

Amendinger, J., 328, 710

Anderluh, J.H.M., 256, 713

Andersen, L.B.G., 165

Andreasen, J., 444

Ankirchner, S., 328

Ansel, J-P., 86

Appelbaum, D., 592

Aquilina, J., 333, 344, 710, 711

Asmussen, S., 501, 646

Atiya, A.F., 241

Atlan, M., 229, 366

Avellaneda, M., 101, 256, 712, 713

Avram, F., 646, 713

Ayache, E., 579

Az´ema, J., 21, 345

Bachelier, L., 98, 138, 159, 711

Baldi, P., 165, 714

Barles, G., 65, 195, 709

Barlow, M.T., 48, 59, 242, 292, 311, 312,

315, 328, 709, 710

Barndorﬀ-Nielsen, O.E., 150, 155, 393,

592, 711

Barone-Adesi, G., 582, 588

Bass, R.F., 556, 711

Bates, D.S., 582, 583, 588, 590

Baudoin, F., 68, 71

Bayraktar, E., 586, 713

Becherer, D., 93, 108

Beckers, S., 365

Begdhadi-Sakrani, S., 69, 560

B´elanger, A., 419, 437

Bellalah, M., 199

Bellamy, N., 497, 574, 714

Benningham, S., 108

Bentata, A., 306

Berestycki, H., 227

Bergenthum, J., 101, 575

Bergman, Y.Z., 575

Bernard, C., 256, 713

Bertoin, J., 592, 593, 606, 609, 636, 710

Bhansali, V., 185, 714

Biane, Ph., 114, 159, 243, 346, 711

Bichteler, K., 509, 711

Bielecki, T.R., 39, 65, 108, 189, 191,

328, 407, 437, 446, 547, 549, 579,

709, 710

Bingham, N.H., 631, 712

Bj¨ork, Th., 505, 538, 569, 712, 713

Black, F., vii, 190, 713

Blanchet-Scalliet, Ch., 288

Blumenthal, R.M., 18, 213

Bondesson, L., 599

Borodin, A., 154, 155, 159, 213, 259,

270, 275, 278, 280, 290, 346, 711

Borovkov, K., 141, 634, 711

Bouchard-Denize, B., 550

Bouchaud, J.Ph., 640

Boughamoura, W., 586, 713

Bouy´e, E., 425

Bowie, J., 165

Boyarchenko, S.I., 583, 592, 646, 713

M. Jeanblanc, M. Yor, M. Chesney, Mathematical Methods for Financial

Markets, Springer Finance, DOI 10.1007/978-1-84628-737-4,

 Springer-Verlag London Limited 2009

715

716 Index of Authors

Boyle, P.P., 372, 711, 714

Brandt, A., 457

Breiman, L., 9, 155, 275, 710, 711

Br´emaud, P., 315, 316, 328, 329, 412,

457, 474, 502, 504, 710, 711

Brennan, M., 210

Brigo, D., 446

Broadie, M., 165

Brockhaus, A., 79

Brossard, J., 48

Brunich, G., 229

Buckdhan, R., 65, 709

Buecker, D.K., 390, 714

B¨uhlmann, H., 624, 713

Burq, Z., 141, 634, 711

Cameron, R.H., 69

Campi, L., 365, 445

Carmona, Ph., 344, 711

Carmona, R., 353, 391, 600

Carr, P., 162, 165, 166, 191, 198, 229,

390, 583, 597, 605, 640, 714

Carraro, L., 41

C¸ etin, U., 256, 440

Chan, T., 646, 713

Chaumont, L., 294, 482, 657

Chen, A., 256, 710

Chen, R., 711

Cheridito, P., 539, 571

Cherif, T., 132

Cherny, A.S., 48, 77, 225, 560, 639, 710,

713

Chesney, M., 117, 162, 165, 198, 256,

380, 396, 582, 714

Chitashvili, R.J., 216

Chou, A., 165

Chou, C.S., 474, 559, 710

Choulli, T., 77, 532, 549

Chung, K.L., 3, 116, 211, 236, 278, 709

C¸ inlar, E., 216, 457, 459, 523

Cocozza-Thivent, C., 457

Cont, R., 392, 592, 616, 626

Conze, A., 181, 714

Corcuera, J.M., 328, 482, 623, 710

Cornwall, G., 256

Cornwall, M.J., 713

Cossin, D., 407

Costabile, M., 256

Coutant, S., 425

Coutin, L., 539

Coviello, R., 539

Cox, A.M.G., 226

Cox, J.C., 159, 190, 359, 365, 372, 710,

711

Cr´epey, S., 392

Cvitani´c, J., 577

Dana, R-A., 712

Daniels, H.E., 155, 711

Dassios, A., 117, 119, 256, 333, 358, 710,

711, 713, 714

Davis, M.H.A., vii, 59, 474, 550, 559,

710, 713

Davydov, D., 183, 281, 333, 365, 372,

711, 714

De Meyer, B., 252

DeBlassie, R.D., 347

Deelstra, G., 710, 711

Delbaen, F., 85, 86, 232, 333, 365, 372,

538, 539, 550, 710, 711, 713, 714

Dellacherie, C., 18, 24, 69, 259, 264, 265,

315, 323, 324, 328, 412, 509, 513,

522, 524, 709–711

Delong, D.M., 155

Derman, E., 227

Detemple, J., 117, 119, 162, 197, 198,

256, 563, 713, 714

Dixit, A., 199, 210

Doeblin, W., 263, 276

Dol´eans-Dade, C., 25, 532, 556

Donati-Martin, C., 71, 345, 389–391,

600, 714

Doney, R.A., 631

Doss, H., 51

Douady, R., 39, 165, 186, 714

Dozzi, M., 634, 711

Dritschel, M., 579

Dubins, L., 261, 312, 314

Dudley, R.M., 60

Duﬃe, D., 108, 333, 363, 407, 418, 440,

566

Dufresne, D., 344, 358, 361, 387, 389–

391, 657, 710, 714

Dupire, B., 227, 284

Durbin, J., 155, 711

Durrett, R., 52, 116, 270

Dynkin, E.B., 18

Index of Authors 717

Eberlein, E., 150, 383, 563, 575, 592,

638

Ekstr¨om, E., 373, 575

El Karoui, N., 41, 62, 65, 101, 108, 132,

160, 222, 262, 548–550, 575, 577,

709, 714

Elliott, R.J., 181, 191, 196, 328, 412,

418, 430, 481, 513, 710, 712

Elworthy, K.D., 336, 710

Emanuel, D., 365, 711

Embrechts, P., vii, 119, 425, 501, 713

Emery, M., 60, 311, 314–316, 522, 579

Engelbert, H-J., 48, 709

Es-Sebaiy, K., 606

Esscher, F., 624

Ethier, S.N., 18

Evans, S.N., 116

Eyraud-Loisel, A., 328, 710

Fajardo, J., 383, 638, 645

Fang, S., 46, 709

Feller, W., 593

Ferebee, B., 155, 711

Fisher, S., 130

Fitzsimmons, P.J., 241

Florens, J-P, 328

F¨ollmer, H., 216, 328, 330, 548–550,

710, 712

Fortet, R., 18

Foug`ere, D., 328

Fouque, J-P., 392

Freedman, D., 159, 275

Frey, R., 425, 548

Friedman, A., 284

Frittelli, M., 87, 549

Fujita, T., 119, 714

Fujiwara, T., 624, 639

Fusai, G., 116, 117, 119, 714

Gapeev, P.V., 557

Garman, M.B., 129, 132, 714

Gasbarra, D., 328, 710

Gaussel, N., 560

Gauthier, L., 206, 256

Geman, H., 159, 182, 183, 263, 341, 389,

390, 711, 714

Geman, R., 213

Gerber, H.U., 457, 497, 583, 624, 642

Getoor, R.K., 18, 213, 261

Gibson, R., 200

Girlich, H-J, vii, 713

Girsanov, I.V., 47, 69

Gjessing, H., 501

G¨oing-Jaeschke, A., 154, 280, 333, 356,

375, 710, 711

Goldman, B.M., 183, 714

Goll, T., 617

Gourieroux, Ch., 108

Grasselli, M., 333

Graversen, S., 56, 60

Greenfeld, Y.M., 430

Greenwood, P.E., 631

Groeneboom, P., 155, 711

Grorud, A., 323, 328, 481, 710

Guo, X., 18, 714

Gy¨ongy, I., 229

Haber, R.J., 256

Hadjiev, D.I., 605

Hagan, P., 365, 366, 392, 711

Hajek, B., 3

Hamad`ene, S., 65

Harrison, J.M., vii, 85, 86, 159, 292,

709, 713

Haug, E.G., 185, 714

He, H., 181, 287

He, S.W., 259, 509, 616, 709, 711, 714

Heath, D., 93, 333, 365, 711

Henderson, V., 232, 383, 550, 714

Heyde, C.C., 336

Heynen, R., 165, 714

Hilberink, B., 631

Hillairet, C., 328, 710

Hirsch, F., 229, 341

Hobson, D., 155, 226, 232, 549, 575, 582,

711

Hodges, S.D., 550

H¨orfelt, P., 389

Horowitz, J., 213

Hu, Y., 65, 200, 709

Hubalek, F., 548

Huﬀ, W., 635

Hugonnier, J.N., 117, 256, 550, 575

Hui, C.H., 183

Hull, J., 393, 394, 417

Hunt, P.J., 544, 712

Ikeda, N., 3, 11, 159, 183, 556, 709, 711

Imkeller, P., 294, 328, 710, 713

718 Index of Authors

Ingersoll, J.E., 164

Ismail, M., 346

Itˆo, K., 18, 44, 159, 259, 270, 278, 284,

290, 509, 592

Iyengar, S., 287, 711

Jacod, J., 47, 89, 262, 315, 328, 457,

474, 482, 502, 505, 509, 524, 543,

544, 556, 559, 575, 592, 609, 710,

711

Jakubenas, P., 575

Jamshidian, F., 108, 380, 446, 532

Jarrow, R.A., 229, 425

Jeanblanc, M., 39, 114, 160, 294, 328,

427, 437, 444, 481, 574, 578, 582,

597, 712

Jennen, C., 155, 711

Jeulin, Th., 315, 325, 328, 481, 539, 559,

710

Jurek, Z., 597

Kabanov, Yu., 538, 713

Kac, M., 113, 114

Kahal´e, N., 155

Kallenberg, O., 16, 48, 52, 211, 259, 457,

502, 509, 524, 711

Kallianpur, G., 105, 712

Kallsen, J., 532, 617

Kani, I., 227

Karandikar, R.L., 105, 712

Karatzas, I., 3, 48, 86, 92, 93, 105, 116,

139, 211, 284, 328, 550, 577, 709,

710

Kardaras, C., 93

Karlin, S., 259, 457

Kat, B.M., 185

Kat, H., 165, 714

Kazamaki, N., 76, 77, 710

Kelker, D., 346

Kelly-Lyth, D., 390, 714

Kendall, D.G., 341

Kennedy, J.E., 544, 712

Kent, J.T., 155, 278, 345, 346, 711

Khasminskii, R.Z., 275

Kiesel, R., 712

Kingman, A., 457

Kl¨oppel, S., 592, 639

Kloeden, P.E., 50

Kl¨uppelberg, Cl., 501, 631

Knight, F.B., 24, 159, 259, 261, 266,

272, 275, 711

Koch Medina, P., 712

Kohatsu-Higa, A., 328, 481, 710

Kohlhagen, S.W., 129, 132, 714

Kolmogorov, A.N., 594

Koponen, I., 640

Kopp, P.E., 181, 191, 196, 712

Korn, R., 93

Kotani, S., 336

Kou, S.G., 491, 568, 569, 711

Kramkov, D., 548, 575, 710

Kreps, D., vii, 85, 86, 713

Kunita, H., 40, 50, 216, 505, 509, 627,

710, 711

Kunitomo, N., 159, 183, 711

Kurtz, T.G., 18

Kusuoka, S., 328, 431, 432, 710

Kwok, Y.K., 116, 181, 365

Kyprianou, A.E., 592, 631, 646, 711

Lakner, P., 230

Lamberton, D., 584, 712

Lambrecht, B.M., 201

Lamperti, J., 347

Lando, D., 407, 418, 440

Landry, B., 497, 642

Lapeyre, B., 584, 712

Last, G., 457

Laurence, P., 712

Le Cam, Y., 444

Le Gall, J-F., 48, 49, 292

Le Jan, Y., 262

Lebedev, N., 664

Leblanc, B., 186, 228, 230, 333, 366, 383

Lefebvre, D., 332

Lejay, A., 292

Leon, J.A., 623

Lepeltier, J-P., 65, 709

L´epingle, D., 77, 532, 560, 710

Lerche, H.R., 155, 711

Leung, K.S., 116, 365

Levendorskii, S.Z., 583, 592, 646, 713

Levental, S., 86, 713

Lewis, A., 361, 392, 711, 712, 714

Li, D.X., 425

Lim, A., 709

Linetsky, V., 116, 165, 183, 270, 281,

333, 365, 372, 710, 711, 714

Index of Authors 719

Lipton, A., 79, 586, 714

Liptser, R.S.R., 329

Lo, C.F., 365, 372, 711, 714

Loeﬀen, R., 592

Loisel, St., 501

Long, J.B., 93

Louberg´e, H., 200

Lukacs, E., 593

Lyasoﬀ, A., 390

L´evy V´ehel, J., 599

L´evy, P., 114

M´etivier, M., 50

Ma, J., 65, 709

MacBeth, J., 365, 711

MacMillan, L.W, 582

Madan, D., 226, 263, 597, 639

Maghsoodi, Y., 365, 378, 710

Maisonneuve, B., 24, 69, 259, 315, 710

Malliavin, P., 57

Mania, M.G., 216, 539, 550, 575, 709

Mansuy, R., 315, 323, 328, 482, 606,

621, 710

Margrabe, W., 130

Martellini, L., 79

Martin, W.T., 69

Martini, C., 101, 575

Maruyama , G., 69

Mastroeni, L., 583

Matsumoto, H., 710

Matzeu, M., 583

Mazziotto, G., 328

McDonald, R.L., 162, 198

McKean, H.P., 44, 47, 77, 159, 259, 263,

270, 275, 278, 284, 290, 709

McNeil, A.J., 425

Mel’nikov, A.V., 501, 712

M´emin, J., 77, 532, 560, 710

Mercurio, F., 569

Merino, S., 712

Merton, R., 188, 582

Metwally, S.A.K., 241

Meyer, P-A., 18, 25, 54, 69, 259, 265,

315, 324, 328, 474, 509, 513, 524,

531, 532, 556, 559, 709–711

Meziou, A., 41, 222

Mikosch, T., 457, 501

Miller, H., 159

Miura, R., 119

Miyahara, Y., 549, 624, 639

Monroe, I., 263

Moraux, F., 117

Mordecki, E., 101, 383, 495, 563, 587,

638, 641, 643, 645, 646, 711

Moreira, W., 646

Musiela, M., 79, 165, 181, 550, 712, 714

Nagaradjasarma, J., 333, 358, 710, 711

Nagasawa, M., 284

Nahum, E., 497, 586

Nakagawa, H., 332

Nakao, S., 48

Nelsen, N.B., 425

Neuberger, A., 550

Neveu, J., 457

Nguyen-Ngoc, L., 592, 631, 643, 646,

714

Nielsen, J.A., 390

Nikeghbali, A., 264, 294, 318, 326, 389,

430, 710

Norbeerg, R., 501

Norros, I., 432

Novikov, A., 154, 280, 605, 710, 711

Nualart, D., 57, 65, 623, 709, 710

Obl´oj, J., 59

Øksendal, B., 3, 44, 200, 259, 328, 481,

592, 710

Omberg, E., 187

Ouknine, Y., 292, 606

Overhaus, M., 79, 592, 712

Pag`es, G., 241

Pal, S., 339

Panini, R.P., 403

Papapantoleon, A., 383, 563, 638

Paranjape, S.R., 155

Pardoux, E., 62

Park, C., 155

Parker, G., 710

Patie, P., 154, 155, 280, 375, 710, 711

Patras, F., 288, 711

Patterson, S.J., 403

Paulssen, J., 501

Pecherskii, E., 631

Pechtl, A., 185

Pelsser, A., 183, 714

Peng, S., 62, 65, 709

720 Index of Authors

Perkins, E., 48, 709

Perraudin, W.R.M., 201

Peskir, G., 18, 155, 711

Pham, H., 332, 550, 583, 589

Pikovsky, I., 328, 710

Pindyck, R., 199

Pirotte,H., 407

Pistorius, M.R., 592, 646

Pitman, J., 116, 129, 154, 155, 159, 219,

225, 278, 295, 346, 352, 353, 376,

631, 711

Platen, E., 50, 93, 333, 365, 711

Pliska, S.R., vii, 86, 165, 712, 713

Poncet, P., 390

Pontier, M., 323, 328, 481, 578, 710

Potters, M, 640

Prause, K., 592

Prigent, J-L., 502, 505, 509, 711

Privault, N., 582

Protter, Ph., 50, 85, 244, 265, 328, 339,

457, 482, 509, 522, 524, 528, 531,

579, 709–711

Pyndick, R., 210

Quenez, M-Cl., 65, 332, 548, 575, 577

Quittard-Pinon, F., 390

Raible, R., 592

Ramakrishnan, A., 389

Rao, M.M., 3

Reiner, E., 164, 165, 714

Revuz, D., 3

Ricciardi, L., 154, 155, 280, 711

Rich, D.R., 165, 714

Robbins, H., 155, 711

Roberts, G.O., 165, 714

Rogers, L.C.G., vii, 3, 18, 44, 211, 225,

259, 261, 270, 275, 333, 344, 365,

391, 539, 582, 631, 709–711, 713

Rogozin, B.A., 631

Rong, S., 65, 709

Rouge, R., 65, 549, 550

Royer, M., 65, 709

Roynette, B., 631, 711

Rubinstein, M., 164, 165, 714

Ruiz de Chavez, J., 69, 560

Runggaldier, W., 509, 569, 711

Russo, F., 539

Rutkowski, M., 49, 79, 165, 181, 189,

191, 294, 328, 407, 427, 437, 712,

714

R¨uschendorf, L., 101, 575

Salminen, P., 154, 155, 159, 213, 259,

270, 275, 278, 280, 290, 294, 346,

711

Samorodnitsky, G., 599

Samuelson, P., vii, 713

San Martin, J., 65, 709

Sandmann, K., 390

Sato, K., 592, 593, 596, 597, 609, 611,

626

Sato, S., 154, 280

Sch¨onbucher, Ph., 191, 407, 476

Sch¨urger, K., 14, 159

Schachermayer, W., 85, 86, 314, 315,

538, 539, 548, 713

Schied, A., 549, 712

Schmidt, W., 48, 709

Scholes, M., vii, 713

Schoutens, W., 65, 592, 623, 640, 709,

710

Schr¨oder, M., 183, 255, 256, 389, 390,

714

Schroder, M.D., 108, 162, 372, 711

Schuurmann, F.J., 155

Schwartz, E., 200, 210

Schwarz, G., 261

Schweizer, M., 550

Scott, L.O., 380, 393, 394, 396, 582, 710,

711

Selivanov, A.V., 639

Seneta, E., 639

Sepp, A., 586, 713

Shaked, M., 432

Shanbhag, D.N., 597

Shanthikumar, J.G., 432

Sharpe, M.J., 18, 261, 295

Shephard, N., 393, 592

Shepp, L.A., 18, 292, 709, 714

Shi, Z., 391, 713

Shiga, T., 342

Shirakawa, H., 333, 344, 353, 365, 372,

552, 578, 710, 711

Shiryaev, A.N., 18, 56, 60, 77, 155, 225,

329, 457, 502, 505, 509, 524, 532,

556, 560, 592, 609, 639, 710, 711