Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar(Volume II)
Editor
- Marco Avellaneda(Courant Institute, New York University)
Abstract
Individual chapters are listed in the "Chapters" tab
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Book Chapters
The following chapters of this book are listed in IDEAS- Yacine Aït-Sahalia, 2001. "Transition Densities For Interest Rate And Other Nonlinear Diffusions," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 1, pages 1-34, World Scientific Publishing Co. Pte. Ltd..
- Andreas S. Weigend & Shanming Shi, 2001. "Hidden Markov Experts," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 2, pages 35-70, World Scientific Publishing Co. Pte. Ltd..
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
- Helyette Geman & Dilip B. Madan & Marc Yor, 2001. "Asset Prices Are Brownian Motion: Only In Business Time," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 4, pages 103-146, World Scientific Publishing Co. Pte. Ltd..
- K. Ronnie Sircar, 2001. "Hedging Under Stochastic Volatility," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 5, pages 147-162, World Scientific Publishing Co. Pte. Ltd..
- Peter Carr & Dilip Madan, 2001. "Determining Volatility Surfaces And Option Values From An Implied Volatility Smile," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 6, pages 163-191, World Scientific Publishing Co. Pte. Ltd..
- Thomas F. Coleman & Yuying Li & Arun Verma, 2001. "Reconstructing The Unknown Local Volatility Function," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 7, pages 192-215, World Scientific Publishing Co. Pte. Ltd..
- Jean-Paul Laurent & Dietmar P. J. Leisen, 2001. "Building A Consistent Pricing Model From Observed Option Prices," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 8, pages 216-238, World Scientific Publishing Co. Pte. Ltd..
- Marco Avellaneda & Robert Buff & Craig Friedman & Nicolas Grandechamp & Lukasz Kruk & Joshua Newman, 2001. "Weighted Monte Carlo: A New Technique For Calibrating Asset-Pricing Models," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 9, pages 239-265, World Scientific Publishing Co. Pte. Ltd..
- Alexander Levin, 2001. "One- And Multi-Factor Valuation Of Mortgages: Computational Problems And Shortcuts," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 10, pages 266-294, World Scientific Publishing Co. Pte. Ltd..
- Peter Carr & Guang Yang, 2001. "Simulating Bermudan Interest Rate Derivatives," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 11, pages 295-316, World Scientific Publishing Co. Pte. Ltd..
- Alexander Lipton, 2001. "How To Use Self-Similarities To Discover Similarities Of Path-Dependent Options," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 12, pages 317-334, World Scientific Publishing Co. Pte. Ltd..
- Juan D. Cárdenas & Emmanuel Fruchard & Jean-François Picron & Cecilia Reyes & Kristen Walters & Weiming Yang, 2001. "Monte Carlo Within A Day," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 13, pages 335-345, World Scientific Publishing Co. Pte. Ltd..
- Katherine Wyatt, 2001. "Decomposition And Search Techniques In Disjunctive Programs For Portfolio Selection," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 14, pages 346-359, World Scientific Publishing Co. Pte. Ltd..
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