Contemporary Quantitative Finance

Carl Chiarella is currently Professor of Quantitative Finance at the University of Technology, Sydney. He holds doctorates in both applied mathematics and economics. He is the author of over 150 research articles in international journals and edited volumes and the author/coauthor of 5 books. Carl is a Co-Editor of the Journal of Economic Dynamics and Control and Associate Editor of Quantitative Finance, Studies in Nonlinear Dynamics and Econometrics, Computational Economics and European Journal of Finance.

Probabilistic Aspects of Arbitrage.- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing.- M6-On Minimal Market Models and Minimal Martingale Measures.- The Economic Plausibility of Strict Local Martingales in Financial Modelling.- A Remarkable ?-finite Measure Associated with Last Passage Times and Penalisation Problems.- Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation.- Existence and Non-uniqueness of Solutions for BSDE.- Comparison Theorems for Finite State Backward Stochastic Differential Equations.- Results on Numerics for FBSDE with Drivers of Quadratic Growth.- Variance Swap Portfolio Theory.- Stochastic Partial Differential Equations and Portfolio Choice.- Issuers' Commitments Would Add More Value than Any Rating Scheme Could Ever Do.- Pricing and Hedging of CDOs: A Top Down Approach.- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives.- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms.- Buy Low and Sell High.- Continuity Theorems in Boundary Crossing Problems for Diffusion Processes.- Binomial Models for Interest Rates.- Lognormal Forward Market Model (LFM) Volatility Function Approximation.- Maximum Likelihood Estimation for Integrated Diffusion Processes.