Description 
1 online resource (xviii, 359 pages) : illustrations 
Contents 
Part 1 Estimation and datadriven models: transition densities for interest rate and other nonlinear diffusions, Y. AitSahalia; 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 assetpricing models, M. Avellaneda et al. Part 3 Pricing and risk management: oneand multifactor valuation of mortgages  computational problems and shortcuts, A. Levin; simulating Bermudan interestrate derivatives, P. Carr and G. Yang; how to use selfsimilarities to discover similarities of pathdependent options, A. Lipton; Monte Carlo within a day, J. Cardenas et al; decomposition and search techniques in disjunctive programmes for portfolio selection, K. Wyatt 
Summary 
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, interestrate modelling, portfolio theory, price forecasting using statistical methods, and more 
Bibliography 
Includes bibliographical references 
Notes 
Print version record 
Subject 
Finance  Mathematical models  Congresses


Economics.


Economics


economics.


BUSINESS & ECONOMICS  Finance.


Economics.


Finance  Mathematical models.

Genre/Form 
Conference papers and proceedings.

Form 
Electronic book

Author 
Avellaneda, Marco, 1955

ISBN 
9789812810663 

9812810668 

1281956325 

9781281956323 

9789810242268 

9810242263 
