The binomial model -- A more general one period model -- Stochastic integrals -- Differential equations -- Portfolio dynamics -- Arbitrage pricing -- Completeness and hedging -- Parity relations and delta hedging -- The Martingale approach to arbitrage theory -- The mathematics of the Martingale...

In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is...