Contents IXOn efficient optimisation of the CVaR and related LP computable risk
measures for portfolio selection
Włodzimierz Ogryczak and TomaszSliwi ́ ́ nski........................... 245
A pattern recognition algorithm for optimal profits in currency trading
Danilo Pelusi..................................................... 253
Nonlinear cointegration in financial time series
Claudio Pizzi..................................................... 263
Optimal dynamic asset allocation in a non–Gaussian world
Gianni Pola...................................................... 273
Fair costs of guaranteed minimum death benefit contracts
Franc ̧ois Quittard-Pinon and Rivo Randrianarivony...................... 283
Solvency evaluation of the guaranty fund at a large financial cooperative
Jean Roy........................................................ 295
A Monte Carlo approach to value exchange options using a single
stochastic factor
Giovanni Villani.................................................. 305