Marco Avellaneda – Quantitative Analysis in Financial Markets

MARCO AVELLANEDA – QUANTITATIVE ANALYSIS IN FINANCIAL MARKETS

This volume contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modelling. 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 modelling, portfolio theory, price forecasting using statistical methods, and more.

CONTENTS:

• Estimation and Data-Driven Models:
  • Transition Densities for Interest Rate and Other Nonlinear Diffusions (Y Aït-Sahalia)
  • Hidden Markov Experts (A Weigend & S-M Shi)
  • When is Time Continuous? (A Lo et al.)
  • Asset Prices are Brownian Motion: Only in Business Time (H Geman et al.)
  • Hedging Under Stochastic Volatility (K Ronnie Sircar)
• Model Calibration and Volatility Smile:
  • Determining Volatility Surfaces and Option Values from an Implied Volatility Smile (P Carr & D Madan)
  • Reconstructing the Unknown Local Volatility Function (T Coleman et al.)
  • Building a Consistent Pricing Model from Observed Option Prices (J-P Laurent & D Leisen)
  • Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models (M Avellaneda et al.)
• Pricing and Risk Management:
  • One- and Multi-Factor Valuation of Mortgages: Computational Problems and Shortcuts (A Levin)
  • Simulating Bermudan Interest-Rate Derivatives (P Carr & G Yang)
  • How to Use Self-Similarities to Discover Similarities of Path-Dependent Options (A Lipton)
  • Monte Carlo Within a Day (J Cárdenas et al.)
  • Decomposition and Search Techniques in Disjunctive Programs for Portfolio Selection (K Wyatt)

---

Get Marco Avellaneda – Quantitative Analysis in Financial Markets on IMC.sale

Marco Avellaneda, Quantitative Analysis in Financial Markets, Download Quantitative Analysis in Financial Markets, Free Quantitative Analysis in Financial Markets, Quantitative Analysis in Financial Markets Torrent, Quantitative Analysis in Financial Markets Review, Quantitative Analysis in Financial Markets Groupbuy.

Delivery Method

– After your purchase, you’ll see a View your orders link which goes to the Downloads page. Here, you can download all the files associated with your order.
– Downloads are available once your payment is confirmed, we’ll also send you a download notification email separate from any transaction notification emails you receive from IMC.sale.
– Since it is a digital copy, our suggestion is to download and save it to your hard drive. In case the link is broken for any reason, please contact us and we will resend the new download link.
– If you cannot find the download link, please don’t worry about that. We will update and notify you as soon as possible at 8:00 AM – 8:00 PM (UTC+8).

Thank You For Shopping With Us!