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

Edited by Marco Avellaneda

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

Abstract: 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.

Date: 2001
ISBN: 9789810242251
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https://www.worldscientific.com/worldscibooks/10.1142/4350 (text/html)
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Chapters in this book:

Ch 1 TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS , pp 1-34

Yacine Ait-Sahalia

Ch 2 HIDDEN MARKOV EXPERTS , pp 35-70

Andreas S. Weigend and Shanming Shi

Ch 3 WHEN IS TIME CONTINUOUS? , pp 71-102

Dimitris Bertsimas, Leonid Kogan and Andrew Lo

Ch 4 ASSET PRICES ARE BROWNIAN MOTION: ONLY IN BUSINESS TIME , pp 103-146

Helyette Geman, Dilip B. Madan and Marc Yor

Ch 5 HEDGING UNDER STOCHASTIC VOLATILITY , pp 147-162

K. Ronnie Sircar

Ch 6 DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE , pp 163-191

Peter Carr and Dilip Madan

Ch 7 RECONSTRUCTING THE UNKNOWN LOCAL VOLATILITY FUNCTION , pp 192-215

Thomas F. Coleman, Yuying Li and Arun Verma

Ch 8 BUILDING A CONSISTENT PRICING MODEL FROM OBSERVED OPTION PRICES , pp 216-238

Jean-Paul Laurent and Dietmar P. J. Leisen

Ch 9 WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS , pp 239-265

Marco Avellaneda, Robert Buff, Craig Friedman, Nicolas Grandechamp, Lukasz Kruk and Joshua Newman

Ch 10 ONE- AND MULTI-FACTOR VALUATION OF MORTGAGES: COMPUTATIONAL PROBLEMS AND SHORTCUTS , pp 266-294

Alexander Levin

Ch 11 SIMULATING BERMUDAN INTEREST RATE DERIVATIVES , pp 295-316

Peter Carr and Guang Yang

Ch 12 HOW TO USE SELF-SIMILARITIES TO DISCOVER SIMILARITIES OF PATH-DEPENDENT OPTIONS , pp 317-334

Alexander Lipton

Ch 13 MONTE CARLO WITHIN A DAY , pp 335-345

Juan D. Cárdenas, Emmanuel Fruchard, Jean-François Picron, Cecilia Reyes, Kristen Walters and Weiming Yang

Ch 14 DECOMPOSITION AND SEARCH TECHNIQUES IN DISJUNCTIVE PROGRAMS FOR PORTFOLIO SELECTION , pp 346-359

Katherine Wyatt

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