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Book Cover
Author New York University Mathematical Finance Seminar (1998-2001)

Title Quantitative analysis in financial markets. vol. III : collected papers of the New York University Mathematical Finance Seminar / editor, Marco Avellaneda
Published River Edge, NJ : World Scientific, ©2001


Description 1 online resource (x, 351 pages) : illustrations
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
Bibliography Includes bibliographical references
Notes Print version record
Subject Finance -- Mathematical models -- Congresses
Finance -- Mathematical models
Genre/Form Conference papers and proceedings
Form Electronic book
Author Avellaneda, Marco, 1955-
ISBN 9789812778451