04059nam 2200589Ia 450 991045318240332120200520144314.01-281-95632-59786611956325981-281-066-8(CKB)1000000000538106(StDuBDS)AH24685566(SSID)ssj0000231159(PQKBManifestationID)11190448(PQKBTitleCode)TC0000231159(PQKBWorkID)10206626(PQKB)10159660(MiAaPQ)EBC1681257(WSP)00004350(Au-PeEL)EBL1681257(CaPaEBR)ebr10255470(CaONFJC)MIL195632(OCoLC)879025084(EXLCZ)99100000000053810619990730d2001 uy 0engur|||||||||||txtccrQuantitative analysis in financial markets[electronic resource] collected papers of the New York University Mathematical Finance SeminarVolume II /editor, Marco AvellanedaSingapore ;River Edge, NJ World Scientific20011 online resource (xviii, 359p. )illA collection of papers presented at the weekly Mathematical Finance Seminar at New York University's Washington Square campus and the Courant Institute.981-02-4225-5 Includes bibliographical references.Part 1 Estimation and data-driven models: transition densities for interest rate and other nonlinear diffusions, Y. Ait-Sahalia; 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 asset-pricing models, M. Avellaneda et al. Part 3 Pricing and risk management: one-and multi-factor valuation of mortgages - computational problems and shortcuts, A. Levin; simulating Bermudan interest-rate derivatives, P. Carr and G. Yang; how to use self-similarities to discover similarities of path-dependent options, A. Lipton; Monte Carlo within a day, J. Cardenas et al; decomposition and search techniques in disjunctive programmes for portfolio selection, K. Wyatt.This volume contains lectures on quantitative financial analysis in financial markets, delivered at the Seminar in Mathematical Finance at the Courant Institute. The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk.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, interest-rate modelling, portfolio theory, price forecasting using statistical methods, and more.FinanceMathematical modelsCongressesEconomicsElectronic books.FinanceMathematical modelsEconomics.332.015118Avellaneda Marco1955-117272MiAaPQMiAaPQMiAaPQBOOK9910453182403321Quantitative analysis in financial markets2454442UNINA