Quantitative analysis in financial markets.: collected papers of the New York University Mathematical Finance Seminar / vol. III :
Gespeichert in:
| Körperschaft: | |
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| Weitere Verfasser: | |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
River Edge, NJ :
World Scientific,
©2001.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 1 online resource (x, 351 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789812778451 9812778454 |
Internformat
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| 111 | 2 | |a New York University Mathematical Finance Seminar |d (1998-2001) | |
| 245 | 1 | 0 | |a Quantitative analysis in financial markets. |n vol. III : |b collected papers of the New York University Mathematical Finance Seminar / |c editor, Marco Avellaneda. |
| 260 | |a River Edge, NJ : |b World Scientific, |c ©2001. | ||
| 300 | |a 1 online resource (x, 351 pages) : |b illustrations | ||
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| 505 | 0 | |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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| contents | 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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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/519233 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic Conference Proceeding eBook |
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| spelling | New York University Mathematical Finance Seminar (1998-2001) 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, ©2001. 1 online resource (x, 351 pages) : illustrations text txt rdacontent computer c rdamedia online resource 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. Print version record. Finance Mathematical models Congresses. Finances Modèles mathématiques Congrès. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Conference papers and proceedings fast Avellaneda, Marco, 1955- https://id.oclc.org/worldcat/entity/E39PBJcrgb9cTDd4yYMmhQbjmd http://id.loc.gov/authorities/names/n99055181 Print version: New York University Mathematical Finance Seminar (1998-2001). Quantitative analysis in financial markets. vol. III. River Edge, NJ : World Scientific, ©2001 9810246935 9789810246938 (OCoLC)50013996 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=210630 Volltext |
| spellingShingle | Quantitative analysis in financial markets. collected papers of the New York University Mathematical Finance Seminar / 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. Finance Mathematical models Congresses. Finances Modèles mathématiques Congrès. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast |
| title | Quantitative analysis in financial markets. collected papers of the New York University Mathematical Finance Seminar / |
| title_auth | Quantitative analysis in financial markets. collected papers of the New York University Mathematical Finance Seminar / |
| title_exact_search | Quantitative analysis in financial markets. 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. |
| title_sort | quantitative analysis in financial markets collected papers of the new york university mathematical finance seminar |
| title_sub | collected papers of the New York University Mathematical Finance Seminar / |
| topic | Finance Mathematical models Congresses. Finances Modèles mathématiques Congrès. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast |
| topic_facet | Finance Mathematical models Congresses. Finances Modèles mathématiques Congrès. BUSINESS & ECONOMICS Finance. Finance Mathematical models Conference papers and proceedings |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=210630 |
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