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date: 21 July 2019

(p. 657) Name Index

(p. 657) Name Index

Abate, J433
Acerbi, C544n6, 549
Acharya, V39, 46, 52, 61, 500
Albanese, C327, 408
Altman, E I39, 40, 44, 46, 48, 49, 50, 51, 52, 55, 56, 57, 58, 60, 61, 82, 88
Amraoui, S249, 250, 251
Andersen, L216, 233, 238, 239, 249, 250, 279, 364, 380, 408, 439, 556
Andersen, P124, 151n3, 294
Andreasen, J408, 439
Angus, J E530–1
Antonov, A246–7
Araten, M50
Arnsdorf, M364
Artzner, P549
Arvanitis, A534
Asarnow, E57
Asmussen, S299, 300, 337, 355, 356, 530
Assaf, D355, 356, 359
Avellaneda, M408
Ayache, E467n1, 487
Azizpour, S160, 313
Backhaus, J303, 327, 328, 347, 348
Bahar, R272n2
Bain, A309n7
Bakshi, G46, 81–2, 88
Balkema, G524, 525, 527, 529
Barco, M537
Barlow, R257, 260
Barndorff‐Nielsen, O E543
Barthes, R475n6
Bass, R291
Basu, S238, 239, 279, 556
Batchvarov, A576n2, 580n3, 581n4, 582n5, 593n7, 599n11
Baxter, M229
Becherer, D314
Beirlant, J521, 524
Bender, C M540
Bennani, N233, 250
Berd, A M67, 79
Bergson, H471n4
Berthault, A39, 47n10
Bharath, S39, 46, 52, 61
Bhatia, M44, 61
Bhattacharya, R N328
Bielecki, T R199, 327, 328, 341, 342, 343, 347, 348, 349, 351, 354, 412
Black, F21, 40, 42n3, 61, 224, 408, 411, 457
Blackwell, D309, 313
Blanchet‐Scalliet, C408, 409, 430
Bluhm, C501–2
Bollier, T F384
Bosworth, E57
Bowers, N L214
Boyarchenko, M408
Boyd, S643
Brace, A159
Brandt, A328, 330, 338
Brasch, H‐J238
Breeden, D T281
Brémaud, P315, 338
Brigo, D160, 166, 170, 234, 384, 389, 408
Broadie, M408
Browne, C J539, 547, 548, 552
Buffett, W505
Bühlmann, P137
Burrus, C237
Burtschell, X216, 538, 556
Cantor, R58
Capponi, A389
(p. 658) Carey, M46, 47, 61
Cariboni, J408
Carmona, R347, 348
Carr, P408, 439, 442
Carty, L V39, 44
Chang, G92
Chapovsky, A225, 227
Chavez‐Demoulin, V526
Chen, O327, 408
Chernick, M R530–1
Choudhury, G433
Chourdakis, K408
Chu, K92
Clift, S408, 451
Coles, S521, 524
Cont, R230, 233, 327, 345, 347, 380, 408, 439
Cooley, J W236
Cousin, A327, 328, 347
Cox, D R20
Cox, J21, 41, 42n3, 61, 408, 411
Craig, I454
Crépey, S302, 327, 328, 347, 348, 354
Crisan, D309n7
Crosbie, P J61
Crouhy, M45n7, 500, 502
Crowder, M313, 314
Crystal, J4
Daniels, H E542
Daníelsson, J501, 505, 506
Das, S82, 83n3, 88, 313
Davidson, A604
Davidson, C413
Davies, P J211, 219
Davis, M292, 294, 300, 305, 308, 309, 313, 314, 320, 507
Davletova, A599n11
Debuysscher, A237
De Haan, L521
DeLanda, M477
Deleuze, G467n1, 470, 471n4, 477, 478, 480
Demchak, Bill5
Derman, E233
Dermine, J57
De Servigny, A574n1
d'Halluin, Y408, 439, 446–7
Duffee, G R44, 61
Duffie, D23, 43, 44, 61, 79, 80, 81, 95, 139, 198, 200, 210, 217, 225, 257, 259, 264, 265, 268, 384, 427
Dullmann, K52–3
Dupire, B233
Eales, R57
Eberhart, A57
Edwards, D57
Efron, B127, 131, 136
Eisenberg, L321
Embrechts, P213, 215, 270, 271, 288, 289, 501, 524, 525, 526, 527, 529
Emery, K197
Eom, Y H42n5
Esparragoza Rodriguez, J292, 308
Fabozzi, F J574n1
Fang, F408
Feng, L408, 413
Ferguson, N468, 469n2, 481
Fermanian, J D327, 328, 347
Ferreira, A521
Feuerverger, A552
Filipovi´c, D308
Finger, C44, 61, 408, 412
Finkelstein, V81
Fisher, R31
Fong, G89
Fons, J596
Forsyth, P408, 439, 446–7, 451
Franks, J41
Freund, P4
Frey, R271, 288, 289, 303, 308, 327, 328, 347, 501
Fridson, M S39, 57
Friedman, J126, 131, 135
Frye, J39, 46, 47, 50, 52–3, 61
Gai, P322
Galai, D45n7, 502
Garleanu, N257
Garman, C M39
Gatarek, D159
Gates, D39, 44
Gauss, C F526
Geithner, T10
Geske, R41, 61
Giampieri, G313, 314
Giesecke, K160, 234, 313
Gill, R124
Glasserman, P160, 184, 534, 539–40, 558
Glynn, P W530
Goldberg, L234
Gordy, M45n7, 46, 47, 52, 61, 534, 552
Graziano, G D234
Greenspan, A6, 8, 12, 504
Gregory, J210, 216, 237, 279, 384, 389, 393, 395, 398, 401n18, 403, 538, 556
Gross, D378
Guesnerie, R504
Guha, R82
Gundlach, M536n2, 542n4, 556
Gupton, G39, 44, 47n10, 52, 61, 74
Gyöngy, I347
Haldeman, R56
Halperin, I327, 364
Hamilton, D T39, 47n10, 58
Hancock, P5
Hannona, P82, 83n3, 88
Harrington, D128
Hashiba, J559
Hastie, T128, 131, 135
Haworth, H408
He, H409, 449
Heath, D70, 159, 224, 230
Heaton, C S215
Heideman, M237
Helwege, J42n5
Henrotte, P492
Herbertsson, A300, 303, 347, 355, 357, 359, 360, 361, 362, 363, 364, 365, 368, 377, 378, 379, 380
Hilberink, B408, 413
Hitier, S249, 250, 251
Hovanesian, M der504
(p. 659) Hu, Y‐T39, 46, 49, 50
Huang, J42n5, 128
Huang, M384
Hui Zou128
Hull, J42, 61, 199, 202, 216, 223, 239, 408, 409, 413, 427, 430, 437, 457
Hyer, T408
Iben, T43, 61, 79
Inglis, S216, 217, 225, 227
Jackson, K408
Jacobs, M50
Jacobsen, M357
Jaimungal, S408
Jamshidian, F160
Jarrow, R20, 39, 43, 44, 46, 47, 61, 70, 79, 80, 83n3, 159, 199, 224, 230, 341, 384, 408, 427, 500
Jeanblanc, M160, 161, 162, 193, 302, 327, 328, 347, 348, 354
Jeffrey, P574n1
Jensen, J L547, 552
Jobst, N574n1
Joe, H260
Johnson, D237
Jokivuolle, E39, 46
Jones, E41n2
Jones, S211, 525
Joshi, M S228–9
Kani, I233
Kapadia, S322
Karlin, B40, 49, 57, 58
Keirstead, W P409, 449
Keisman, D40, 57, 60
Keynes, J M514
Kiesel, R408
Kim, I J42, 61, 408, 412
Klüppelberg, C501
Knight, F H513–14
Kolassa, J E547
Kong, W222
Koopmans, L309, 313
(p. 660) Krekel, M249, 250, 251
Kwok, Y408, 409
Lando, D20, 43, 44, 61, 79, 199, 341, 353, 378, 427
Last, G328, 330, 338
Laurent, J‐P216, 237, 279, 327, 328, 347, 389, 538, 556
Law, J473n5, 481, 482
Lee, S408, 413, 439
Lehrbass, F536n2, 542n4, 556
Leland, H408, 413
Leung, S408, 409
Levendorski, S408
Leventus, A627
Levin, A604
Lewis, A442
Li, D213, 257, 399, 408, 430
Li, J539–40, 558
Liang, J582n5
Lindskog, F213, 215, 217, 234, 235, 257, 259, 261, 263, 268, 270, 271
Linetsky, V408, 413
Lipton, A200, 201, 209, 216, 217, 225, 227, 389, 408, 409, 412, 413, 434, 439, 442, 450
Litterman, R43, 61, 79
Litzenberger, R H281
Liu, X314
Lo, V294, 300, 305
Loan, C V378, 380
Longstaff, F21, 42, 61, 208, 408, 412
Lopatin, A233, 327, 364, 380
Lord, R408
Lucas, D596
Luciano, E229
Lysenko, N527
McAdie, R116
McGinty, L218, 280
McLeish, D530
McNeil, A213, 215, 217, 234, 235, 257, 259, 261, 263, 268, 270, 271, 288, 289, 501, 525
Madan, D43, 46, 61, 81–2, 88, 140, 442
Maetz, J250
Mandelbrot, R501
Mark, R45n7, 502
Markopolos, H505
Marshall, A W26, 409, 416, 417
Marshella, T40, 57
Martin, R J539, 547, 548, 549, 552, 561
Masetti, M384
Mashal, R67, 215, 257, 260, 273, 389
Mason, S41n2
Mayo, A408, 439
Mechkov, S246–7
Merino, S237
Merton, R21, 40, 61, 78, 88, 290
Mikosch, T501, 524
Miller, D R378
Miltersen, K R159
Mina, J237
Minca, A230, 327, 347, 380
Misirpashaev, T233, 246–7, 327, 364, 380, 430
Miu, P51, 61
Moler, C305, 378, 380
Moosbrucker, T229
Morini, M160, 166, 170
Mortensen, A225, 226, 353
Morton, A70, 159, 224, 230
Muench, D219
Musiela, M159
Nagpal, K272n2
Naldi, M92, 215, 257, 273, 389
Narayanan, P56
Nelkin, I430, 437
Nelsen, R260
Neto de Carvalho, C57
Neuts, M F337, 355
Nguyen, T‐U215
Nielsen, L T42, 61, 408, 412
Nier, E322
Noe, T321
Nyfeler, M237
O'Kane, D69, 79, 116, 196, 206, 214, 246, 385
Okashima, K39
Olkin, I26, 260, 409, 416, 417
(p. 661) Oosterlee, C534
Oosterlee, K408
Ordovás. R558, 565n13
Orszag, S A540
Overbeck, L501–2
Ozdemir, B51, 61
Pain, A219
Pallavicini, A234
Palmowski, Z343, 351
Pan, J200, 217, 225, 264, 268
Panjer, H25, 28
Parr, A485n10
Patras, F408, 409, 430
Perraudin, W39, 46, 49, 50
Petas, P J504
Peura, S39, 46
Pil, A504
Piterbarg, V233, 364, 380
Popescu, B E131
Proschan, F257, 260
Protter, P314
Puccetti, G529
Pugachevsky, D398, 408
Pykhtin, M52–3, 408, 409, 430
Rajan, A208
Ramaswamy, K42, 61, 408, 412
Rebholz, J409, 449
Reisinger, C408
Renault, O219, 272n2
Rennie, A225, 227
Resnick, S I508, 521, 523, 531
Resti, A46, 48, 51, 52, 56, 60, 61
Reyfman, A222
Richardson, M500
Rockafellar, R T643
Rogers, C234, 506–7, 526
Rogers, L291, 328, 330, 338, 408, 413
Rolski, T330, 332, 337, 343, 351, 355
Rootzén, H303, 355, 357, 360, 361, 362, 363, 378, 379
Rosenfeld, E41n2
Rubinstein, M415
Ruiz‐Mata, J534
Rüschendorf, L288
Rutkowski, M160, 161, 162, 193, 199, 328, 341, 412
Saá‐Requejo, J42, 61, 408, 412
Saita, L139
Saito, K‐I553n7
Salmon, F214, 525, 526
Samiri, I184
Sandmann, K159
Santa‐Clara, P42, 61, 408, 412
Sato, K414
Savescu, I230, 233
Sbityakov, A219
Scherer, M408
Schleifer, A52
Schmidt, T308
Scholes, M40, 224
Schönbucher, P J79, 159, 160, 166, 171, 200, 206, 208, 230, 271, 277, 364, 380, 457
Schoutens, W229, 408
Schroder, M81
Schuermann, T52
Schwartz, E21, 42, 61, 408, 412
Sen, S69
Seneta, E140
Sepp, A209, 216, 225, 389, 408, 409, 413
Servigny, A272n2
Shaw, W408
Shelton, D219, 244
Shiller, R604
Shin, H322
Sibuya, M525
Sidenius, J216, 233, 238, 239, 249, 250, 279, 364, 380, 556
Sidje, R B378
Singleton, K J43, 61, 79, 80, 200, 265, 427
Sironi, A46, 48, 51, 52, 60, 61
Skiadis, C81
Sneyd, A454
Sondermann, D159
Song, J408, 413, 439
Sorenson, E H384
Srinivasan, A39, 46, 52, 61
(p. 662) Stacey, A M228–9
Stamicar, R412
Stein, R M52, 74
Stern, E237
Stewart, W J378
Straumann, D525
Stroock, D296
Sundaresan, S42, 61, 408, 412
Surkov, V408
Syski, R328
Szego, M237
Takano, Y559
Taleb, N N488, 500, 516
Tankov, P345, 439
Tasche, D544n6, 549, 561
Tavares, P215, 225, 227
Tett, G211
Thompson, K E539, 547, 548, 552, 558, 565n13
Tibshirani, R131, 135
Tippett, L31
Toft, K408, 413
Toivanen, J408, 439
Tomecek, P327
Torous, W41
Torresetti, R234
Trapp, M52–3
Tuckman, B67, 69
Tukey, J W236
Turnbull, S M20, 43, 44, 61, 79, 80, 199, 341, 384, 389, 393, 395, 398, 408, 427, 500, 514
Uhrig‐Homburg, M412
Unal, H43, 61
Ushakova, K222
Valuéis, M408
Van de Castle, K60
Vandenberghe, L643
Van Loan, C305
Varadhan, S296
Varma, P58
Vasicek, O A41, 61, 89, 214, 233, 242
Vaysburd, I215
Veilex, L246–7
Vellekoop, M320
Verde, M60
Vershny, P50
Vetzal, K408, 439, 446–7
Vidozzi, A341, 342, 343, 349
Vidozzi, L341, 342, 343, 349
Vishny, R52
Voltchkova, E408, 439
Wahba, E134
Wang, K139
Wang, P67
Wang, X534
Watts, D322
Waymire, E C328
Weaver, K604
White, A42, 61, 199, 202, 216, 223, 239, 408, 409, 413, 427, 430, 437, 457
Whitehouse, M214
Whitt, W433
Wilcox, R91
Wilde, T S549
Williams, D291, 328, 330, 338
Wilson, Earl17
Wilson, T C61
Winkler, S582n5
Wong, A C M552
Wong, D257
Yamamoto, Y408
Yildirim, Y83n3
Yu, J408
Zargari, B302, 354
Zeevi, A215
Zhang, F46, 81–2, 88, 184
Zhao, X160
Zhen, W140
Zhou, C44, 408, 409, 413
Zhou, J408
Zhu, H198, 210
Zhu, S408, 409, 430
Zourabichvili, F478