Quantitative analysis in financial markets, vol. III: collected papers of the New York University Mathematical Finance Seminar
Gespeichert in:
| Körperschaft: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
River Edge, NJ
World Scientific
c2001
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references On the regulation of fee structures in mutual funds / Sanjiv R. Das, Rangarajan K. Sundaram -- The mean-variance synthesis of corporate balance sheets / Les Gulko -- Multi-stage optimization for long-term investors / John M. Mulvey -- A discrete-time approach to arbitrage-free pricing of credit derivatives / Sanjiv R. Das, Rangarajan K. Sundaram -- An alternative approach for valuing continuous cash flows / Peter Carr, Alex Lipton, Dilip Madan -- Arbitrage pricing and equilibrium pricing: compatibility conditions / Elyès Jouini, Clotilde Napp -- Nonlinear financial models: finite Markov modulation and its limits / Mogens Bladt, Pablo Padilla -- Pricing American options with transaction costs by complementarity methods / Jong-Shi Pang, Jacqueline Huang -- A linearization approach in modeling quasi-affine coupon rate term structures and related derivatives / Alexander Levin -- A generalized Ornstein-Uhlenbeck process of yield rates calibrated with strips / Jacques Carrière -- Mathematical pseudo-completion of the BGM model / Takashi Yasuoka -- A finite difference method for the valuation of variance swaps / Thomas Little, Vijay Pant -- Pricing discrete barrier options with an adaptive mesh model / Dong-Hyun Ahn, Bin Gao, Stephen Figlewski -- Bermudan option pricing with Monte-Carlo methods / Raphaël Douady -- Linear, yet attractive, contour / Juan D. Cʹardenas, Emmanuel Fruchard, Jean-François Picron -- Conquering the Greeks in Monte Carlo: efficient calculation of the market sensitivities and hedge-ratios of financial assets by direct numerical simulation / Marco Avellaneda, Roberta Gamba |
| Beschreibung: | 1 Online-Ressource (x, 351 p.) |
| ISBN: | 9789812778451 9812778454 |
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| 245 | 1 | 0 | |a Quantitative analysis in financial markets, vol. III |b collected papers of the New York University Mathematical Finance Seminar |c editor, Marco Avellaneda |
| 264 | 1 | |a River Edge, NJ |b World Scientific |c c2001 | |
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| 500 | |a Includes bibliographical references | ||
| 500 | |a On the regulation of fee structures in mutual funds / Sanjiv R. Das, Rangarajan K. Sundaram -- The mean-variance synthesis of corporate balance sheets / Les Gulko -- Multi-stage optimization for long-term investors / John M. Mulvey -- A discrete-time approach to arbitrage-free pricing of credit derivatives / Sanjiv R. Das, Rangarajan K. Sundaram -- An alternative approach for valuing continuous cash flows / Peter Carr, Alex Lipton, Dilip Madan -- Arbitrage pricing and equilibrium pricing: compatibility conditions / Elyès Jouini, Clotilde Napp -- Nonlinear financial models: finite Markov modulation and its limits / Mogens Bladt, Pablo Padilla -- Pricing American options with transaction costs by complementarity methods / Jong-Shi Pang, Jacqueline Huang -- A linearization approach in modeling quasi-affine coupon rate term structures and related derivatives / Alexander Levin -- A generalized Ornstein-Uhlenbeck process of yield rates calibrated with strips / Jacques Carrière -- Mathematical pseudo-completion of the BGM model / Takashi Yasuoka -- A finite difference method for the valuation of variance swaps / Thomas Little, Vijay Pant -- Pricing discrete barrier options with an adaptive mesh model / Dong-Hyun Ahn, Bin Gao, Stephen Figlewski -- Bermudan option pricing with Monte-Carlo methods / Raphaël Douady -- Linear, yet attractive, contour / Juan D. Cʹardenas, Emmanuel Fruchard, Jean-François Picron -- Conquering the Greeks in Monte Carlo: efficient calculation of the market sensitivities and hedge-ratios of financial assets by direct numerical simulation / Marco Avellaneda, Roberta Gamba | ||
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| author_corporate | New York University Mathematical Finance Seminar <1998-2001> |
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| dewey-full | 332.01/519233 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/519233 |
| dewey-search | 332.01/519233 |
| dewey-sort | 3332.01 6519233 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| spelling | New York University Mathematical Finance Seminar <1998-2001> Verfasser aut Quantitative analysis in financial markets, vol. III collected papers of the New York University Mathematical Finance Seminar editor, Marco Avellaneda River Edge, NJ World Scientific c2001 1 Online-Ressource (x, 351 p.) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references On the regulation of fee structures in mutual funds / Sanjiv R. Das, Rangarajan K. Sundaram -- The mean-variance synthesis of corporate balance sheets / Les Gulko -- Multi-stage optimization for long-term investors / John M. Mulvey -- A discrete-time approach to arbitrage-free pricing of credit derivatives / Sanjiv R. Das, Rangarajan K. Sundaram -- An alternative approach for valuing continuous cash flows / Peter Carr, Alex Lipton, Dilip Madan -- Arbitrage pricing and equilibrium pricing: compatibility conditions / Elyès Jouini, Clotilde Napp -- Nonlinear financial models: finite Markov modulation and its limits / Mogens Bladt, Pablo Padilla -- Pricing American options with transaction costs by complementarity methods / Jong-Shi Pang, Jacqueline Huang -- A linearization approach in modeling quasi-affine coupon rate term structures and related derivatives / Alexander Levin -- A generalized Ornstein-Uhlenbeck process of yield rates calibrated with strips / Jacques Carrière -- Mathematical pseudo-completion of the BGM model / Takashi Yasuoka -- A finite difference method for the valuation of variance swaps / Thomas Little, Vijay Pant -- Pricing discrete barrier options with an adaptive mesh model / Dong-Hyun Ahn, Bin Gao, Stephen Figlewski -- Bermudan option pricing with Monte-Carlo methods / Raphaël Douady -- Linear, yet attractive, contour / Juan D. Cʹardenas, Emmanuel Fruchard, Jean-François Picron -- Conquering the Greeks in Monte Carlo: efficient calculation of the market sensitivities and hedge-ratios of financial assets by direct numerical simulation / Marco Avellaneda, Roberta Gamba BUSINESS & ECONOMICS / Finance bisacsh Finance / Mathematical models fast Mathematisches Modell Wirtschaft Finance Mathematical models Congresses (DE-588)1071861417 Konferenzschrift gnd-content Avellaneda, Marco Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=210630 Aggregator Volltext |
| spellingShingle | Quantitative analysis in financial markets, vol. III collected papers of the New York University Mathematical Finance Seminar BUSINESS & ECONOMICS / Finance bisacsh Finance / Mathematical models fast Mathematisches Modell Wirtschaft Finance Mathematical models Congresses |
| subject_GND | (DE-588)1071861417 |
| title | Quantitative analysis in financial markets, vol. III collected papers of the New York University Mathematical Finance Seminar |
| title_auth | Quantitative analysis in financial markets, vol. III collected papers of the New York University Mathematical Finance Seminar |
| title_exact_search | Quantitative analysis in financial markets, vol. III collected papers of the New York University Mathematical Finance Seminar |
| title_full | Quantitative analysis in financial markets, vol. III collected papers of the New York University Mathematical Finance Seminar editor, Marco Avellaneda |
| title_fullStr | Quantitative analysis in financial markets, vol. III collected papers of the New York University Mathematical Finance Seminar editor, Marco Avellaneda |
| title_full_unstemmed | Quantitative analysis in financial markets, vol. III collected papers of the New York University Mathematical Finance Seminar editor, Marco Avellaneda |
| title_short | Quantitative analysis in financial markets, vol. III |
| title_sort | quantitative analysis in financial markets vol iii collected papers of the new york university mathematical finance seminar |
| title_sub | collected papers of the New York University Mathematical Finance Seminar |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Finance / Mathematical models fast Mathematisches Modell Wirtschaft Finance Mathematical models Congresses |
| topic_facet | BUSINESS & ECONOMICS / Finance Finance / Mathematical models Mathematisches Modell Wirtschaft Finance Mathematical models Congresses Konferenzschrift |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=210630 |
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