Quantitative analysis in financial markets.
Subtitle: collected papers of the New York University Mathematical Finance Seminar
By: editor, Marco Avellaneda.
Contributors: Avellaneda, Marco, 1955-
Publisher: World Scientific
Published: 2001
Place of publication: [River Edge], NJ
Language: eng
Number of pages: 351
Subjects: Finance -- Mathematical models -- Congresses
Genres: Congresses.
Notes: Includes bibliographical references.
Table of contents: title: On the regulation of fee structures in mutual funds / Sanjiv R. Das, Rangarajan K. Sundaram; title: The mean-variance synthesis of corporate balance sheets / Les Gulko; title: Multi-stage optimization for long-term investors / John M. Mulvey; title: A discrete-time approach to arbitrage-free pricing of credit derivatives / Sanjiv R. Das, Rangarajan K. Sundaram; title: An alternative approach for valuing continuous cash flows / Peter Carr, Alex Lipton, Dilip Madan; title: Arbitrage pricing and equilibrium pricing: compatibility conditions / Elyès Jouini, Clotilde Napp; title: Nonlinear financial models: finite Markov modulation and its limits / Mogens Bladt, Pablo Padilla; title: Pricing American options with transaction costs by complementarity methods / Jong-Shi Pang, Jacqueline Huang; title: A linearization approach in modeling quasi-affine coupon rate term structures and related derivatives / Alexander Levin; title: A generalized Ornstein-Uhlenbeck process of yield rates calibrated with strips / Jacques Carrière; title: Mathematical pseudo-completion of the BGM model / Takashi Yasuoka; title: A finite difference method for the valuation of variance swaps / Thomas Little, Vijay Pant; title: Pricing discrete barrier options with an adaptive mesh model / Dong-Hyun Ahn, Bin Gao, Stephen Figlewski; title: Bermudan option pricing with Monte-Carlo methods / Raphaël Douady; title: Linear, yet attractive, contour / Juan D. Cʹardenas, Emmanuel Fruchard, Jean-François Picron; title: 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.