Quantitative Analysis in Financial Markets: Collected Papers of the New York University Mathematical Finance Seminar, Volume 2

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World Scientific, 2001 - Business & Economics - 359 pages
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This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lectures 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.

 

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Contents

Estimation and DataDriven Models
1
Hidden Markov Experts
35
When is Time Continuous?
71
Only in Business Time
103
Hedging under Stochastic Volatility
147
Model Calibration and Volatility Smile
163
Reconstructing the Unknown Local Volatility Function
192
Building a Consistent Pricing Model from Observed Option Prices
216
A New Technique for Calibrating
239
Pricing and Risk Management
265
Simulating Bermudan InterestRate Derivatives
295
How to Use SelfSimilarities to Discover Similarities
317
Monte Carlo Within a Day
335
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