Quantitative Analysis in Financial Markets: Collected Papers of the New York University Mathematical Finance Seminar, Volume 3

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World Scientific, 2001 - Mathematics - 351 pages
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This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
 

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Contents

The MeanVariance Synthesis of Corporate Balance Sheets
37
MultiStage Optimization for LongTerm Investors
66
Arbitrage Pricing and Derivatives
86
An Alternative Approach for Valuing Continuous Cash Flows
110
Compatibility Conditions
131
Finite Markov Modulation and its Limits
159
Pricing American Options with Transaction Costs
172
TermStructure Models
199
A Generalized OrnsteinUhlenbeck Process of Yield Rates Calibrated
222
Mathematical PseudoCompletion of the BGM Model
247
Algorithms for Pricing and Hedging
275
Pricing Discrete Barrier Options with an Adaptive Mesh Model
296
Bermudan Option Pricing with MonteCarlo Methods
314
Linear Yet Attractive Contour
329
Efficient Calculation of
336
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