This book 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 modeling. 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 modeling, portfolio theory, price forecasting using statistical methods, etc. Contents:Estimation and Data-Driven Models:Transition Densities for Interest Rate and Other Nonlinear Diffusions (Y AAmt-Sahalia)Hidden Markov Experts (A Weigend a 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)Model Calibration and Volatility Smile:Determining Volatility Surfaces and Option Values from an Implied Volatility Smile (P Carr a D Madan)Reconstructing the Unknown Local Volatility Function (T Coleman et al.)Building a Consistent Pricing Model from Observed Option Prices (J-P Laurent a D Leisen)Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models (M Avellaneda et al.)Pricing and Risk Management:One- and Multi-Factor Valuation of Mortgages: Computational Problems and Shortcuts (A Levin)Simulating Bermudan Interest-Rate Derivatives (P Carr a G Yang)How to Use Self-Similarities to Discover Similarities of Path-Dependent Options (A Lipton)Monte Carlo Within a Day (J CAirdenas et al.)Decomposition and Search Techniques in Disjunctive Programs for Portfolio Selection (K Wyatt) Readership: Students and researchers in economics, finance and applied mathematics. Keywords:He has published approximately 80 research papers, written a textbook entitled a Quantitative Modeling of Derivative Securities: ... Robert Buff earned his Ph.D. in the Computer Science Department of the Courant Institute of Mathematical Sciences at New York University. ... Juan D. Cardenas is Manager of Market and Credit Risk in the Financial Technology Group at Summit Systems, Inc. in New York.
|Title||:||Quantitative Analysis in Financial Markets|
|Publisher||:||World Scientific - 2001-01-10|