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DERIVATIVES, RISK MANAGEMENT AND VALUE CONTENTS FRONT MATTER Mondher Bellalah i PART I. FINANCIAL MARKETS AND FINANCIAL INSTRUMENTS: BASIC CONCEPTS AND STRATEGIES FINANCIAL MARKETS, FINANCIAL INSTRUMENTS, AND FINANCIAL CRISIS Mondher Bellalah 3 RISK MANAGEMENT, DERIVATIVES MARKETS AND TRADING STRATEGIES Mondher Bellalah 67 TRADING OPTIONS AND THEIR UNDERLYING ASSET: RISK MANAGEMENT IN DISCRETE TIME Mondher Bellalah 141 PART II. PRICING DERIVATIVES AND THEIR UNDERLYING ASSETS IN A DISCRETE-TIME SETTING OPTION PRICING: THE DISCRETE-TIME APPROACH FOR STOCK OPTIONS Mondher Bellalah 221 CREDIT RISKS, PRICING BONDS, INTEREST RATE INSTRUMENTS, AND THE TERM STRUCTURE OF INTEREST RATES Mondher Bellalah 259 EXTENSIONS OF SIMPLE BINOMIAL OPTION PRICING MODELS TO INTEREST RATES AND CREDIT RISK Mondher Bellalah 293 DERIVATIVES AND PATH-DEPENDENT DERIVATIVES: EXTENSIONS AND GENERALIZATIONS OF THE LATTICE APPROACH BY ACCOUNTING FOR INFORMATION COSTS AND ILLIQUIDITY Mondher Bellalah 327 PART III. OPTION PRICING IN A CONTINUOUS-TIME SETTING: BASIC MODELS, EXTENSIONS AND APPLICATIONS EUROPEAN OPTION PRICING MODELS: THE PRECURSORS OF THE BLACK–SCHOLES–MERTON THEORY AND HOLES DURING MARKET TURBULENCE Mondher Bellalah 367 SIMPLE EXTENSIONS AND APPLICATIONS OF THE BLACK–SCHOLES TYPE MODELS IN VALUATION AND RISK MANAGEMENT Mondher Bellalah 403 APPLICATIONS OF OPTION PRICING MODELS TO THE MONITORING AND THE MANAGEMENT OF PORTFOLIOS OF DERIVATIVES IN THE REAL WORLD Mondher Bellalah 439 PART IV. MATHEMATICAL FOUNDATIONS OF OPTION PRICING MODELS IN A CONTINUOUS-TIME SETTING: BASIC CONCEPTS AND EXTENSIONS THE DYNAMICS OF ASSET PRICES AND THE ROLE OF INFORMATION: ANALYSIS AND APPLICATIONS IN ASSET AND RISK MANAGEMENT Mondher Bellalah 493 RISK MANAGEMENT: APPLICATIONS TO THE PRICING OF ASSETS AND DERIVATIVES IN COMPLETE MARKETS Mondher Bellalah 535 SIMPLE EXTENSIONS AND GENERALIZATIONS OF THE BLACK–SCHOLES TYPE MODELS IN THE PRESENCE OF INFORMATION COSTS Mondher Bellalah 583 PART V. EXTENSIONS OF OPTION PRICING THEORY TO AMERICAN OPTIONS AND INTEREST RATE INSTRUMENTS IN A CONTINUOUS-TIME SETTING: DIVIDENDS, COUPONS AND STOCHASTIC INTEREST RATES EXTENSION OF ASSET AND RISK MANAGEMENT IN THE PRESENCE OF AMERICAN OPTIONS: DIVIDENDS, EARLY EXERCISE, AND INFORMATION UNCERTAINTY Mondher Bellalah 615 RISK MANAGEMENT OF BONDS AND INTEREST RATE SENSITIVE INSTRUMENTS IN THE PRESENCE OF STOCHASTIC INTEREST RATES AND INFORMATION UNCERTAINTY: THEORY AND TESTS Mondher Bellalah 667 MODELS OF INTEREST RATES, INTEREST-RATE SENSITIVE INSTRUMENTS, AND THE PRICING OF BONDS: THEORY AND TESTS Mondher Bellalah 703 PART VI. GENERALIZATION OF OPTION PRICING MODELS AND STOCHASTIC VOLATILITY EXTREME MARKET MOVEMENTS, RISK AND ASSET MANAGEMENT: GENERALIZATION TO JUMP PROCESSES, STOCHASTIC VOLATILITIES, AND INFORMATION COSTS Mondher Bellalah 745 RISK MANAGEMENT DURING ABNORMAL MARKET CONDITIONS: FURTHER GENERALIZATION TO JUMP PROCESSES, STOCHASTIC VOLATILITIES, AND INFORMATION COSTS Mondher Bellalah 771 PART VII. OPTION PRICING MODELS AND NUMERICAL ANALYSIS Option Pricing Models and Numerical Analysis 799 RISK MANAGEMENT, NUMERICAL METHODS AND OPTION PRICING Mondher Bellalah 801 NUMERICAL METHODS AND PARTIAL DIFFERENTIAL EQUATIONS FOR EUROPEAN AND AMERICAN DERIVATIVES WITH COMPLETE AND INCOMPLETE INFORMATION Mondher Bellalah 833 PART VIII. EXOTIC DERIVATIVES Exotic Derivatives 875 RISK MANAGEMENT: EXOTICS AND SECOND-GENERATION OPTIONS Mondher Bellalah 877 VALUE AT RISK, CREDIT RISK, AND CREDIT DERIVATIVES Mondher Bellalah 917 BACK MATTER Mondher Bellalah 943 Back

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