Presents a collection of papers presented at the Mathematical Finance Seminar, a seminar which meets weekly at New York University's Washington Square Campus. Papers are in sections on models and model selection, option pricing and exotics, time-series estimation, empirical studies involving options, and financial economics and portfolio theory. Papers reflect the diversity of quantitative research in finance, span a broad spectrum of financial applications, and have a strong theoretical content and applicability to trading and risk management.
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First Sentence:
In practice, many problems in the valuation of the derivative assets are solved by using binomial approximations to continuous distributions. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
spot riskless rate, ratchet call, straddle trading strategies, false change points, reciprocal gamma distribution, knockout call, parabolic weighting, single barrier options, early exercise boundary, uncertain volatility model, impulse perturbations, hedge parameters, analytical valuation formula, traded strikes, parabolic kernel, double barrier options, current forward price, profit the next day, approximated process, accounting for transaction costs, quanto options, short rate process, lookback call, binary calls, spot volatility Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Journal of Finance, Journal of Financial Economics, Monte Carlo, Courant Institute, Englewood Cliffs, John Wiley, Journal of Business, Management Science, Review of Financial Studies, Journal of Derivatives, Journal of Economic Theory, Marco Avellaneda, Centre Solutions, Cornell University, Prentice Hall, Proof of Proposition, Risk Magazine, University of Toronto, Average Deviation, Cambridge Univ, Dynamic Asset Pricing Theory, Expected Cost, Glenlake Publ, Journal of Mathematical Economics New!
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Front Cover | Table of Contents | First Pages | Back Cover | Surprise Me!
In practice, many problems in the valuation of the derivative assets are solved by using binomial approximations to continuous distributions. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
spot riskless rate, ratchet call, straddle trading strategies, false change points, reciprocal gamma distribution, knockout call, parabolic weighting, single barrier options, early exercise boundary, uncertain volatility model, impulse perturbations, hedge parameters, analytical valuation formula, traded strikes, parabolic kernel, double barrier options, current forward price, profit the next day, approximated process, accounting for transaction costs, quanto options, short rate process, lookback call, binary calls, spot volatility Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Journal of Finance, Journal of Financial Economics, Monte Carlo, Courant Institute, Englewood Cliffs, John Wiley, Journal of Business, Management Science, Review of Financial Studies, Journal of Derivatives, Journal of Economic Theory, Marco Avellaneda, Centre Solutions, Cornell University, Prentice Hall, Proof of Proposition, Risk Magazine, University of Toronto, Average Deviation, Cambridge Univ, Dynamic Asset Pricing Theory, Expected Cost, Glenlake Publ, Journal of Mathematical Economics New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Back Cover | Surprise Me!
Citations (learn more)
This book cites 37
books:
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10
books
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- Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas on 4 pages
- Options, Futures and Other Derivatives (6th Edition) by John C. Hull on 4 pages
- Derivative Securities by Robert Jarrow on page 52, page 119, and page 203
- Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie on page 342, and page 366
- Advances in Futures and Options Research, Volume 9 (Advances in Futures and Options Research) (Advances in Futures and Options Research) by Peter Ritchken on page 217
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- Hypermodels in Mathematical Finance by Siu-Ah Ng in Back Matter
- Monte Carlo and Quasi-Monte Carlo Methods 2000 by Kai-Tai Fang on page 199
- Option-Implied Risk-Neutral Distributions and Risk Aversion by Jens Carsten Jackwerth in Back Matter
- Handbook of Asset and Liability Management - Set: Handbook of Asset and Liability Management, Volume 1: Theory and Methodology by Stavros A. Zenios on page 68
- Building and Using Dynamic Interest Rate Models by Ken O. Kortanek in Back Matter
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