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Quantitative analysis in financial markets : Collected papers of the New York University Mathematical Finance Seminar

Author: Marco Avellaneda
Publisher: Singapore ; River Edge, NJ : World Scientific, 1999.
Edition/Format:   eBook : Document : Conference publication : EnglishView all editions and formats
Database:WorldCat
Summary:

This volume contains lectures delivered at the Seminar in Mathematical Finance at the Courant Institute, New York University. Subjects covered include: the emerging science of pricing and hedging  Read more...

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Genre/Form: Electronic books
Conference papers and proceedings
Congresses
Additional Physical Format: Print version:
New York University Mathematical Finance Seminar (1995-1998).
Quantitative analysis in financial markets.
Singapore : River Edge, NJ : World Scientific, 1999
(DLC) 99044136
(OCoLC)506719158
Material Type: Conference publication, Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Marco Avellaneda
ISBN: 9789812812599 9812812598
OCLC Number: 841171110
Notes: A collection of papers presented at the weekly Mathematical Finance Seminar at New York University's Washington Square campus from 1995-1998.
Description: 1 online resource (xvii, 367 pages) : illustrations
Contents: Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics / Marti G. Subrahmanyam, Teng-Suan Ho and Richard C. Stapleton --
Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach / Alexander Levin --
Models for Estimating the Structure of Interest Rates from Observations of Yield Curves / K.O. Kortanek and V.G. Medvedev --
Calibrating Volatility Surface via Relative-Entropy Minimization / Marco Avellaneda, Craig Friedman and Richard Holmes / [and others] --
Static Hedging of Exotic Options / Peter Carr, Katrina Ellis and Vishal Gupta --
Closed Form Formulas for Exotic Options and Their Lifetime Distribution / Raphael Douady.
Responsibility: editor, Marco Avellaneda.

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