Exotic Options

Volatility I: Quantitative and Qualitative Description

• Correcting Black-Scholes

Michael Kamal and Emanuel Derman

• Regimes of Volatility

Emanuel Derman

• If the skew fits

Gregory Brown and Curt Randall

• Uncertain volatility

Terry Lyons and Adam T Smith

• Jumping smiles

Leif Andersen and Jesper Andreasen

• Calibrating Random Volatility

Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar

• A mixed up smile

Damiano Brigo and Fabio Mercurio

• A fair value for the skew

Joe Zou and Emmanuel Derman

• Principles of the skew

Carol Alexander

• Crises and Volatility

Allan Malz

• The vol smile problem

Alexander Lipton

• Trees from history

Nusrat Cakici and Kevin Foster

• Reconstructing volatility

M.Avellaneda, Dash Boyer-Olson, Peter Friz and Jerome Busca

• Volatile volatilities

Leif Andersen and Jesper Andreasen

Volatility II: Vol Swaps

• Introducing the covariance swap

Peter Carr and Dilip Madan

• A guide to variance swaps

Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou

• Market risk of variance swaps

Neil Chriss and William Morokoff

• Volatility Swaps Made Simple

Oliver Brockhaus and Douglas Long

Exotic Options: Products and Methods

• Similarities via self-similarities

Alexander Lipton

• Pricing exotics under the smile

Klaus Said

• Upgrading your passport

Jan Vecer and Steven Shreve

• Going with the flow

Peter Carr, Alexander Lipton and Dilip Madan

• Static barriers

Leif Andersen and Jesper Andreasen

• Jumping in line

Claudio Albanese, Sebastian Jaimungal and Dmitri Rubisov

• Hedge your Monte Carlo

Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic

• Behind the Mirror

Jesper Andreasen

• Black-Scholes goes hypergeometric

Claudio Albanese, Guiseppe Campolieti, Peter Carr and Alexander Lipton

• New products, new risks

Richard Quessette

• Himalaya Options

Marcus Overhaus

• Exotic Spectra

Vadim Linetsky

• Universal barriers

Alexander Lipton and William McGhee

• Unified Asian pricing

Jan Vecer

• Assets with jumps

Alexander Lipton

• Why Be Backward?

Peter Carr and Ali Hirsa

Exotic Underlyers

• Hedging under asymmetry

Angelo Arvanitis and Jean-Michel Lasry

• Insurance Optional

Claudio Giraldi, Gabriele Susinno, Giacomo Berti, John Brunello, Silvia Buttarazzi, Gianluca Cenciarelli, Carlo Daroda and Giuseppe Stamegna

• Pricing the Weather

Melanie Cao and Jason Wei

• Hedging electoral risk

Steve Kou and Michel Sobel

• Plugging into electricity

Helyette Geman and Oldrich Vasicek

• Mean-reverting Smiles

Alain Chebanier and David Beaglehole

• Substitute Hedging

Vicky Henderson and David Hobson

• A Two-factor mean-reverting model

David Beaglehole and Alain Chebanier