Nonparametric Methods in Continuous-Time Finance: A Selective Review **We thank Haitao Li for his valuable and helpful comments. Cai’s research was supported, in part, by the National Science Foundation grant iJMS-0072J00 and funds provided by the University of North Carolina at Charlotte and Sonderforschungsbereich 373, Berlin, Germany. Hong’s research was supported, in part, by the National Scient:” Foundation grant SES-0111769.