## Quantitative Analysis in Financial Markets: Collected Papers of the New York University Mathematical Finance Seminar, Volume 3This 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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### Common terms and phrases

algorithm amax American option approach approximation arbitrage asset price assume assumption barrier option benchmark BGM theory Black-Scholes bond capital structure cash flows component computed contingent claim continuous convergence correlation coupon rates credit derivatives default probabilities defined denote derivatives discrete barrier distribution dividend dynamic equation equilibrium equity example exercise expected fees expected value factor fee structure firm's forward rate framework fulcrum fee function Gaussian given Green's function hedging incentive fee interest rate investment investor Journal lattice Lemma leverage liabilities linear Mathematical Finance matrix maturity mean-variance method Monte Carlo multi-stage mutual fund nodes nonlinear complementarity problems normal distribution numeraire obtain optimal option pricing parameters payoff portfolio price process probability measure problem Proposition random variables recursive returns risk risk-neutral scenario simulation solution solving standard stochastic strategy surplus swaption term structure Theorem transaction costs trinomial underlying valuation variance swap vector volatility yield

### References to this book

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