## Quantitative Analysis in Financial Markets: Collected Papers of the New York University Mathematical Finance Seminar, Volume 2This 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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### Common terms and phrases

algorithm approach approximation arbitrage arbitrage opportunities assumption asymptotic benchmark Bermudan swaption Black-Scholes Brownian motion calibrated call option cashflow closed-form computed conditional consider constant continuous-time convexity corresponding delta-hedging denote density derivative securities diffusion discrete disjunctive distribution dynamics Economics EIRS estimated Euler approximation European swaptions evaluated example exotic options experts factor finite formula gamma process Gaussian geometric Brownian motion given granularity grid hidden Markov hidden Markov models implied volatility interest rate Journal of Financial jump Levy measure linear Market Model martingale Mathematical Finance maturity method Monte Carlo simulation node non-linear numeraire optimal option prices parameters path path-independence payoff portfolio predictions prepayment probability problem random risk risk-neutral RMSE scenarios solution spline knots standard static stochastic process stochastic volatility stock pricing function supply shocks swaptions term structure Theorem tracking error trading underlying valuation variable variance volatility function volatility smile volatility surface zero

### References to this book

Hypermodels in Mathematical Finance: Modelling Via Infinitesimal Analysis Siu-Ah Ng No preview available - 2003 |