Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar
著者
書誌事項
Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar
World Scientific, c1999-
- v. [1] : hc
- v. [1] : pbk
- v. 2 : hc
- v. 2 : pbk
- v. 3 : hc
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v. [1] : hcK3381:170A:1120206722M,
v. 2 : hcK3381:170A:2120206721L, v. 2 : pbk*K3381**170**2927000391V -
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注記
A collection of papers presented at the weekly Mathematical Finance Seminar at New York University's Washington Square campus, 1995-1998
Includes bibliographical references
内容説明・目次
- 巻冊次
-
v. [1] : hc ISBN 9789810237882
内容説明
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.
- 巻冊次
-
v. [1] : pbk ISBN 9789810237899
内容説明
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.
- 巻冊次
-
v. 2 : hc ISBN 9789810242251
内容説明
This 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.
目次
- Part 1 Estimation and data-driven models: transition densities for interest rate and other nonlinear diffusions, Y. Ait-Sahalia
- hidden Markov experts, A. Weigend and S.-M. Shi
- when is time continuous?, A. Lo et al
- asset prices are Brownian motion - only in business time, H. Geman et al
- hedging under stochastic volatility, K. Ronnie Sircar. Part 2 Model calibration and volatility smile: determining volatility surfaces and option values from an implied volatility smile, P. Carr and D. Madan
- reconstructing the unknown local volatility function, T. Coleman et al
- building a consistent pricing model from observed option prices, J.-P. Laurent and D. Leisen
- weighted Monte Carlo -a new technique for calibrating asset-pricing models, M. Avellaneda et al. Part 3 Pricing and risk management: one-and multi-factor valuation of mortgages - computational problems and shortcuts, A. Levin
- simulating Bermudan interest-rate derivatives, P. Carr and G. Yang
- how to use self-similarities to discover similarities of path-dependent options, A. Lipton
- Monte Carlo within a day, J. Cardenas et al
- decomposition and search techniques in disjunctive programmes for portfolio selection, K. Wyatt.
- 巻冊次
-
v. 2 : pbk ISBN 9789810242268
内容説明
This 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.
目次
- Part 1 Estimation and data-driven models: transition densities for interest rate and other nonlinear diffusions, Y. Ait-Sahalia
- hidden Markov experts, A. Weigend and S.-M. Shi
- when is time continuous?, A. Lo et al
- asset prices are Brownian motion - only in business time, H. Geman et al
- hedging under stochastic volatility, K. Ronnie Sircar. Part 2 Model calibration and volatility smile: determining volatility surfaces and option values from an implied volatility smile, P. Carr and D. Madan
- reconstructing the unknown local volatility function, T. Coleman et al
- building a consistent pricing model from observed option prices, J.-P. Laurent and D. Leisen
- weighted Monte Carlo -a new technique for calibrating asset-pricing models, M. Avellaneda et al. Part 3 Pricing and risk management: one-and multi-factor valuation of mortgages - computational problems and shortcuts, A. Levin
- simulating Bermudan interest-rate derivatives, P. Carr and G. Yang
- how to use self-similarities to discover similarities of path-dependent options, A. Lipton
- Monte Carlo within a day, J. Cardenas et al
- decomposition and search techniques in disjunctive programmes for portfolio selection, K. Wyatt.
- 巻冊次
-
v. 3 : hc ISBN 9789810246938
内容説明
This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
目次
- Finance Theory and Asset Allocation
- Arbitrage Pricing and Derivatives
- Term-Structure Models
- Algorithms for Pricing and Hedging.
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