Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar

Edited by Marco Avellaneda

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Date: 1999
ISBN: 9789810237882
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https://www.worldscientific.com/worldscibooks/10.1142/4040 (text/html)
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Chapters in this book:

Ch 1 MULTIVARIATE BINOMIAL APPROXIMATIONS FOR ASSET PRICES WITH NONSTATIONARY VARIANCE AND COVARIANCE CHARACTERISTICS , pp 1-24

Teng-Suan Ho, Richard C. Stapleton and Marti G. Subrahmanyam

Ch 2 DERIVING CLOSED-FORM SOLUTIONS FOR GAUSSIAN PRICING MODELS: A SYSTEMATIC TIME-DOMAIN APPROACH , pp 25-52

Alexander Levin

Ch 3 MODELS FOR ESTIMATING THE STRUCTURE OF INTEREST RATES FROM OBSERVATIONS OF YIELD CURVES , pp 53-120

K. O. Kortanek and V. G. Medvedev

Ch 4 CALIBRATING VOLATILITY SURFACES VIA RELATIVE-ENTROPY MINIMIZATION , pp 121-151

Marco Avellaneda, Craig Friedman, Richard Holmes and Dominick Samperi

Ch 5 STATIC HEDGING OF EXOTIC OPTIONS , pp 152-176

Peter Carr, Katrina Ellis and Vishal Gupta

Ch 6 CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION , pp 177-202

Raphael Douady

Ch 7 ASIAN OPTIONS, THE SUM OF LOGNORMALS, AND THE RECIPROCAL GAMMA DISTRIBUTION , pp 203-218

Moshe Milevsky and Steven E. Posner

Ch 8 PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD , pp 219-239

Jingzhi Huang, Marti G. Subrahmanyam and G. George Yu

Ch 9 PIECEWISE CONVEX FUNCTION ESTIMATION: PILOT ESTIMATORS , pp 240-254

Kurt S. Riedel

Ch 10 FUNCTION ESTIMATION USING DATA-ADAPTIVE KERNEL SMOOTHERS — HOW MUCH SMOOTHING? , pp 255-270

K. S. Riedel and A. Sidorenko

Ch 11 E-ARCH MODEL FOR IMPLIED VOLATILITY TERM STRUCTURE OF FX OPTIONS , pp 271-291

Yingzi Zhu and Marco Avellaneda

Ch 12 A TEST OF EFFICIENCY FOR THE CURRENCY OPTION MARKET USING STOCHASTIC VOLATILITY FORECASTS , pp 292-311

Dajiang Guo

Ch 13 PORTFOLIO-BASED RISK PRICING: PRICING LONG-TERM PUT OPTIONS WITH GJR-GARCH(1,1)/JUMP DIFFUSION PROCESS , pp 312-322

Sergei Esipov and Dajiang Guo

Ch 14 THE EXISTENCE OF EQUILIBRIUM IN A FINANCIAL MARKET WITH TRANSACTION COSTS , pp 323-343

Xing Jin and Frank Milne

Ch 15 PORTFOLIO GENERATING FUNCTIONS , pp 344-367

Robert Fernholz

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