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Quantitative Analysis in Financial Markets
Marco Avellaneda
其他書名
Collected Papers of the New York University Mathematical Finance Seminar
出版World Scientific, 1999
主題Business & Economics / Finance / General
ISBN98102378989789810237899
URLhttp://books.google.com.hk/books?id=CeXoVzPGae4C&hl=&source=gbs_api
EBookSAMPLE
註釋This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers & presenters of papers are prominent researchers & 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 & hedging derivative securities &, 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: Calibrating Volatility Surfaces via Relative-Entropy Minimization (M Avellaneda et al.); Static Hedging of Exotic Options (P Carr et al.); Close for Formulas for Exotic Options & Their Lifetime Distribution (R Douady); Portfolio Generating Functions (R Fernholz); Portfolio Based Risk Pricing (D-J Guo & S Esipov); Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach (A Levin); Asian Options, the Sum of Lognormals & the Reciprocal Gamma Distribution (S E Posner & M Milevshy); Piecewise Convex Function Estimation (K Riedel); Pricing & Hedging American Options: A Recursive Integration Method (M Subrahmanyam et al.); E-ARCH Model for the Term-Structure of Implied Volatilities of FX Options (Y-Z Zhu & M Avellaneda); & other papers. Readership: Wall Street quantitative analysts & researchers in economics, finance & applied mathematics.