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

Edited by Marco Avellaneda

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

Abstract: 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.

Keywords: Quantitative Analysis; Financial Markets (search for similar items in EconPapers)
Date: 2002
ISBN: 9789810246938
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https://www.worldscientific.com/worldscibooks/10.1142/4760 (text/html)
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Chapters in this book:

Ch 1 ON THE REGULATION OF FEE STRUCTURES IN MUTUAL FUNDS , pp 1-36

Sanjiv Ranjan Das and Rangarajan K. Sundaram

Ch 2 THE MEAN-VARIANCE SYNTHESIS OF CORPORATE BALANCE SHEETS , pp 37-65

Les Gulko

Ch 3 MULTI-STAGE OPTIMIZATION FOR LONG-TERM INVESTORS , pp 66-85

John M. Mulvey

Ch 4 A DISCRETE–TIME APPROACH TO ARBITRAGE-FREE PRICING OF CREDIT DERIVATIVES , pp 86-109

Sanjiv Ranjan Das and Rangarajan K. Sundaram

Ch 5 AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS , pp 110-130

Peter Carr, Alex Lipton and Dilip Madan

Ch 6 ARBITRAGE PRICING AND EQUILIBRIUM PRICING: COMPATIBILITY CONDITIONS , pp 131-158

Elyès Jouini and Clotilde Napp

Ch 7 NONLINEAR FINANCIAL MODELS: FINITE MARKOV MODULATION AND ITS LIMITS , pp 159-171

Mogens Bladt and Pablo Padilla

Ch 8 PRICING AMERICAN OPTIONS WITH TRANSACTION COSTS BY COMPLEMENTARITY METHODS , pp 172-198

Jong-Shi Pang and Jacqueline Huang

Ch 9 A LINEARIZATION APPROACH IN MODELING QUASI-AFFINE COUPON RATE TERM STRUCTURES AND RELATED DERIVATIVES , pp 199-221

Alexander Levin

Ch 10 A GENERALIZED ORNSTEIN-UHLENBECK PROCESS OF YIELD RATES CALIBRATED WITH STRIPS , pp 222-246

J. F. Carrière

Ch 11 MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL , pp 247-274

Takashi Yasuoka

Ch 12 A FINITE DIFFERENCE METHOD FOR THE VALUATION OF VARIANCE SWAPS , pp 275-295

Thomas Little and Vijay Pant

Ch 13 PRICING DISCRETE BARRIER OPTIONS WITH AN ADAPTIVE MESH MODEL , pp 296-313

Dong-Hyun Ahn, Bin Gao and Stephen Figlewski

Ch 14 BERMUDAN OPTION PRICING WITH MONTE-CARLO METHODS , pp 314-328

Raphael Douady

Ch 15 LINEAR, YET ATTRACTIVE, CONTOUR , pp 329-335

Juan D. Cárdenas, Emmanuel Fruchard and Jean-François Picron

Ch 16 CONQUERING THE GREEKS IN MONTE CARLO: EFFICIENT CALCULATION OF THE MARKET SENSITIVITIES AND HEDGE-RATIOS OF FINANCIAL ASSETS BY DIRECT NUMERICAL SIMULATION , pp 336-351

Marco Avellaneda and Roberta Gamba

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