Quantitative Analysis in Financial Markets: Collected Papers of the New York University Mathematical Finance Seminar, Volume 2
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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Estimation and DataDriven Models
Hidden Markov Experts
When is Time Continuous?
Only in Business Time
Hedging under Stochastic Volatility
Model Calibration and Volatility Smile
Reconstructing the Unknown Local Volatility Function
Building a Consistent Pricing Model from Observed Option Prices
A New Technique for Calibrating
Pricing and Risk Management
Simulating Bermudan InterestRate Derivatives
How to Use SelfSimilarities to Discover Similarities
Monte Carlo Within a Day