Quantitative analysis in financial markets :: collected papers of the New York University Mathematical Finance Seminar. Volume II /
This volume 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 modelling. Most are faculty members at leading universities or...
Gespeichert in:
| Körperschaft: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; River Edge, NJ :
World Scientific,
2001.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This volume 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 modelling. Most are faculty members at leading universities or Wall Street practitioners. The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modelling, portfolio theory, price forecasting using statistical methods, and more. |
| Beschreibung: | 1 online resource (xviii, 359 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789812810663 9812810668 1281956325 9781281956323 9789810242268 9810242263 |
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| 245 | 1 | 0 | |a Quantitative analysis in financial markets : |b collected papers of the New York University Mathematical Finance Seminar. |n Volume II / |c editor, Marco Avellaneda. |
| 260 | |a Singapore ; |a River Edge, NJ : |b World Scientific, |c 2001. | ||
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| 505 | 0 | |a Part 1 Estimation and data-driven models: transition densities for interest rate and other nonlinear diffusions, Y. Ait-Sahalia; hidden Markov experts, A. Weigend and S.-M. Shi; when is time continuous?, A. Lo et al; asset prices are Brownian motion -- only in business time, H. Geman et al; hedging under stochastic volatility, K. Ronnie Sircar. Part 2 Model calibration and volatility smile: determining volatility surfaces and option values from an implied volatility smile, P. Carr and D. Madan; reconstructing the unknown local volatility function, T. Coleman et al; building a consistent pricing model from observed option prices, J.-P. Laurent and D. Leisen; weighted Monte Carlo -a new technique for calibrating asset-pricing models, M. Avellaneda et al. Part 3 Pricing and risk management: one-and multi-factor valuation of mortgages -- computational problems and shortcuts, A. Levin; simulating Bermudan interest-rate derivatives, P. Carr and G. Yang; how to use self-similarities to discover similarities of path-dependent options, A. Lipton; Monte Carlo within a day, J. Cardenas et al; decomposition and search techniques in disjunctive programmes for portfolio selection, K. Wyatt. | |
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| 700 | 1 | |a Avellaneda, Marco, |d 1955- |1 https://id.oclc.org/worldcat/entity/E39PBJcrgb9cTDd4yYMmhQbjmd |0 http://id.loc.gov/authorities/names/n99055181 | |
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| contents | Part 1 Estimation and data-driven models: transition densities for interest rate and other nonlinear diffusions, Y. Ait-Sahalia; hidden Markov experts, A. Weigend and S.-M. Shi; when is time continuous?, A. Lo et al; asset prices are Brownian motion -- only in business time, H. Geman et al; hedging under stochastic volatility, K. Ronnie Sircar. Part 2 Model calibration and volatility smile: determining volatility surfaces and option values from an implied volatility smile, P. Carr and D. Madan; reconstructing the unknown local volatility function, T. Coleman et al; building a consistent pricing model from observed option prices, J.-P. Laurent and D. Leisen; weighted Monte Carlo -a new technique for calibrating asset-pricing models, M. Avellaneda et al. Part 3 Pricing and risk management: one-and multi-factor valuation of mortgages -- computational problems and shortcuts, A. Levin; simulating Bermudan interest-rate derivatives, P. Carr and G. Yang; how to use self-similarities to discover similarities of path-dependent options, A. Lipton; Monte Carlo within a day, J. Cardenas et al; decomposition and search techniques in disjunctive programmes for portfolio selection, K. Wyatt. |
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| spelling | New York University Mathematical Finance Seminar (1995-1998) Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar. Volume II / editor, Marco Avellaneda. Singapore ; River Edge, NJ : World Scientific, 2001. 1 online resource (xviii, 359 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references. Print version record. This volume 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 modelling. Most are faculty members at leading universities or Wall Street practitioners. The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modelling, portfolio theory, price forecasting using statistical methods, and more. Part 1 Estimation and data-driven models: transition densities for interest rate and other nonlinear diffusions, Y. Ait-Sahalia; hidden Markov experts, A. Weigend and S.-M. Shi; when is time continuous?, A. Lo et al; asset prices are Brownian motion -- only in business time, H. Geman et al; hedging under stochastic volatility, K. Ronnie Sircar. Part 2 Model calibration and volatility smile: determining volatility surfaces and option values from an implied volatility smile, P. Carr and D. Madan; reconstructing the unknown local volatility function, T. Coleman et al; building a consistent pricing model from observed option prices, J.-P. Laurent and D. Leisen; weighted Monte Carlo -a new technique for calibrating asset-pricing models, M. Avellaneda et al. Part 3 Pricing and risk management: one-and multi-factor valuation of mortgages -- computational problems and shortcuts, A. Levin; simulating Bermudan interest-rate derivatives, P. Carr and G. Yang; how to use self-similarities to discover similarities of path-dependent options, A. Lipton; Monte Carlo within a day, J. Cardenas et al; decomposition and search techniques in disjunctive programmes for portfolio selection, K. Wyatt. Finance Mathematical models Congresses. Economics. http://id.loc.gov/authorities/subjects/sh85040850 Economics https://id.nlm.nih.gov/mesh/D004467 Finances Modèles mathématiques Congrès. Économie politique. economics. aat BUSINESS & ECONOMICS Finance. bisacsh Economics fast 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. Quantitative analysis in financial markets. Singapore ; River Edge, NJ : World Scientific, 2001 9810242255 9789810242251 (OCoLC)47978972 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=235918 Volltext |
| spellingShingle | Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar. Part 1 Estimation and data-driven models: transition densities for interest rate and other nonlinear diffusions, Y. Ait-Sahalia; hidden Markov experts, A. Weigend and S.-M. Shi; when is time continuous?, A. Lo et al; asset prices are Brownian motion -- only in business time, H. Geman et al; hedging under stochastic volatility, K. Ronnie Sircar. Part 2 Model calibration and volatility smile: determining volatility surfaces and option values from an implied volatility smile, P. Carr and D. Madan; reconstructing the unknown local volatility function, T. Coleman et al; building a consistent pricing model from observed option prices, J.-P. Laurent and D. Leisen; weighted Monte Carlo -a new technique for calibrating asset-pricing models, M. Avellaneda et al. Part 3 Pricing and risk management: one-and multi-factor valuation of mortgages -- computational problems and shortcuts, A. Levin; simulating Bermudan interest-rate derivatives, P. Carr and G. Yang; how to use self-similarities to discover similarities of path-dependent options, A. Lipton; Monte Carlo within a day, J. Cardenas et al; decomposition and search techniques in disjunctive programmes for portfolio selection, K. Wyatt. Finance Mathematical models Congresses. Economics. http://id.loc.gov/authorities/subjects/sh85040850 Economics https://id.nlm.nih.gov/mesh/D004467 Finances Modèles mathématiques Congrès. Économie politique. economics. aat BUSINESS & ECONOMICS Finance. bisacsh Economics fast Finance Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85040850 https://id.nlm.nih.gov/mesh/D004467 |
| 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 : collected papers of the New York University Mathematical Finance Seminar. Volume II / editor, Marco Avellaneda. |
| title_fullStr | Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar. Volume II / editor, Marco Avellaneda. |
| title_full_unstemmed | Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar. Volume II / 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. Economics. http://id.loc.gov/authorities/subjects/sh85040850 Economics https://id.nlm.nih.gov/mesh/D004467 Finances Modèles mathématiques Congrès. Économie politique. economics. aat BUSINESS & ECONOMICS Finance. bisacsh Economics fast Finance Mathematical models fast |
| topic_facet | Finance Mathematical models Congresses. Economics. Economics Finances Modèles mathématiques Congrès. Économie politique. economics. BUSINESS & ECONOMICS Finance. Finance Mathematical models Conference papers and proceedings |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=235918 |
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