Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar
eBook - PDF

Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar

Collected Papers of the New York University Mathematical Finance Seminar

  1. 388 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar

Collected Papers of the New York University Mathematical Finance Seminar

About this book

This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.

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Yes, you can access Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar by Marco Avellaneda in PDF and/or ePUB format, as well as other popular books in Business & Business Mathematics. We have over one million books available in our catalogue for you to explore.

Table of contents

  1. CONTENTS
  2. INTRODUCTION
  3. ACKNOWLEDGEMENTS
  4. THE CONTRIBUTORS
  5. MULTIVARIATE BINOMIAL APPROXIMATIONS FOR ASSET PRICES WITH NONSTATIONARY VARIANCE AND COVARIANCE CHARACTERISTICS*
  6. DERIVING CLOSED-FORM SOLUTIONS FOR GAUSSIAN PRICING MODELS: A SYSTEMATIC TIME-DOMAIN APPROACH
  7. MODELS FOR ESTIMATING THE STRUCTUREOF INTEREST RATES FROM OBSERVATIONS OF YIELD CURVES*
  8. CALIBRATING VOLATILITY SURFACES VIA RELATIVE-ENTROPY MINIMIZATION*
  9. STATIC HEDGING OF EXOTIC OPTIONS
  10. CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
  11. ASIAN OPTIONS, THE SUM OF LOGNORMALS, AND THE RECIPROCAL GAMMA DISTRIBUTION*
  12. PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD
  13. PIECEWISE CONVEX FUNCTION ESTIMATION: PILOT ESTIMATORS*
  14. FUNCTION ESTIMATION USING DATA-ADAPTIVE KERNEL SMOOTHERS — HOW MUCH SMOOTHING?
  15. E-ARCH MODEL FOR IMPLIED VOLATILITY TERM STRUCTURE OF FX OPTIONS
  16. A TEST OF EFFICIENCY FOR THE CURRENCY OPTION MARKET USING STOCHASTIC VOLATILITY FORECASTS
  17. PORTFOLIO-BASED RISK PRICING:PRICING LONG-TERM PUT OPTIONS WITH GJR-GARCH(1,1)/JUMP DIFFUSION PROCESS
  18. THE EXISTENCE OF EQUILIBRIUM IN A FINANCIAL MARKET WITH TRANSACTION COSTS
  19. PORTFOLIO GENERATING FUNCTIONS