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Preface ...................................................... vii
List of Contributors ........................................... ix
About the Editors ............................................ xiii
Sponsors .....................................................xv
CHAPTER 1  Coherent Measures of Risk into Everyday
Market Practice ................................. 1
Carlo Acerbi
CHAPTER 2  Pricing High-Dimensional American Options
Using Local Consistency Conditions ............. 13
S.J. Berridge and J.M. Schumacher
CHAPTER 3  Adverse Interrisk Diversification Effects
for FX Forwards ............................... 53
Thomas Breuer and Martin Jandaˇ cka
CHAPTER 4  Counterparty Risk Pricing under Correlation
between Default and Interest Rates ...............63
Damiano Brigo and Andrea Pallavicini
CHAPTER 5  Optimal Dynamic Asset Allocation for
Defined Contribution Pension Plans ............. 83
Andrew J.G. Cairns, David Blake, and Kevin Dowd
CHAPTER 6  On High-Performance Software Development
for the Numerical Simulation of Life
Insurance Policies .............................. 87
S. Corsaro, P.L. De Angelis, Z. Marino, and F. Perla
CHAPTER 7  An Efficient Numerical Method for Pricing
Interest Rate Swaptions ........................ 113
Mark Cummins and Bernard Murphy
CHAPTER 8  Empirical Testing of Local Cross Entropy as a
Method for Recovering Asset’s Risk-Neutral
PDF from Option Prices ....................... 149
Vladim´ ır Dobi´ aˇ s
CHAPTER 9  Using Intraday Data to Forecast Daily
Volatility: A Hybrid Approach.................. 173
David C. Edelman and Francesco Sandrini
CHAPTER 10  Pricing Credit from the Top Down with
Affine Point Processes ......................... 195
Eymen Errais, Kay Giesecke, and Lisa R. Goldberg
CHAPTER 11  Valuation of Performance-Dependent Options
in a Black–Scholes Framework ................. 203
Thomas Gerstner, Markus Holtz, and Ralf Korn
CHAPTER 12  Variance Reduction through Multilevel
Monte Carlo Path Calculations ................. 215
Michael B. Giles
CHAPTER 13  Value at Risk and Self-Similarity................225
Olaf Menkens
CHAPTER 14  Parameter Uncertainty in Kalman-Filter
Estimation of the CIR Term-Structure Model .... 255
Conall O’Sullivan
CHAPTER 15  EDDIE for Discovering Arbitrage
Opportunities ................................ 281
Edward Tsang, Sheri Markose, Alma Garcia, and Hakan Er
Index ...................................................... 285