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Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar, Volume II

Author: Marco Avellaneda
Publisher: Singapore ; [River Edge], NJ : World Scientific, ©2001.
Edition/Format:   Print book : Conference publication : EnglishView all editions and formats
Database:WorldCat
Summary:

This volume contains lectures on quantitative financial analysis in financial markets, delivered at the Seminar in Mathematical Finance at the Courant Institute. The lectures deal with the emerging  Read more...

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Genre/Form: Conference papers and proceedings
Congresses
Material Type: Conference publication
Document Type: Book
All Authors / Contributors: Marco Avellaneda
ISBN: 9810242255 9789810242251 9810242263 9789810242268
OCLC Number: 47978972
Description: xviii, 359 pages : illustrations ; 25 cm
Contents: Transition densities for interest rate and other nonlinear diffusions / Y. Aït-Sahalia --
Hidden Markov experts / A. Weigend & S. Shi --
When is time continuous? / D. Bertsimas, L. Kogan & A. Lo --
Asset prices are Brownian motion: only in business time / H. Geman, D. Mada & M. Yor --
Hedging under stochastic volatility / K.R. Sircar --
Determining volatility surfaces and option values from an implied volatility smile / P. Carr & D. Madan --
Reconstructing the unknown local volatility function / T. Coleman, Y. Li & A. Verma. Building a consistent pricing model from observed option prices / J.P. Laurent & D. Leisen --
Weighted Monte Carlo: a new technique for calibrating asset-pricing models / M. Avellaneda [and others] --
One- and multi-factor valuation of mortgages: computational problems and shortcuts / A. Levin --
Simulating Bermudan interest-rate derivatives / P. Carr & G. Yang --
How to use self-similarities to discover similarities of path-dependent options / A. Lipton --
Monte Carlo within a day / J. Cárdenas [and others] --
Decomposition and search techniques in disjunctive programs for portfolio selection / K. Wyatt.
Responsibility: editor, Marco Avellaneda.

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