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Quantitative Analysis in Financial Markets Volume II Collected Papers of the New York University Mathematical Finance Seminar 1st Edition by New York University Mathematical Finance Seminar ISBN 9810242255 9789810242251

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Quantitative Analysis in Financial Markets Volume II Collected Papers of the New York University Mathematical Finance Seminar 1st Edition New York University Mathematical Finance Seminar (1995-1998) Digital Instant Download

Author(s): New York University Mathematical Finance Seminar (1995-1998)
ISBN(s): 9789810242251, 9810242255
Edition: 1st
File Details: PDF, 18.45 MB
Year: 2001
Language: english
SKU: EB-2202876 Category: Tag:

Quantitative Analysis in Financial Markets Volume II Collected Papers of the New York University Mathematical Finance Seminar 1st Edition by New York University Mathematical Finance Seminar – Ebook PDF Instant Download/Delivery: 9810242255, 9789810242251
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ISBN 10: 9810242255 
ISBN 13: 9789810242251
Author: New York University Mathematical Finance Seminar

This book 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 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.

Quantitative Analysis in Financial Markets Volume II Collected Papers of the New York University Mathematical Finance Seminar 1st Table of contents:

  • Part I: Estimation and Data-Driven Models

    • Piecewise Convex Function Estimation: Pilot Estimators
    • Function Estimation Using Data-Adaptive Kernel Smoothers — How Much Smoothing?

  • Part II: Option Pricing and Exotics

    • Pricing and Hedging American Options: A Recursive Integration Method
    • Pricing and Hedging High-Yielding Currency Options

  • Part III: Estimation of Time Series

    • E-ARCH Model for Implied Volatility Term Structure of FX Options
    • A Test of Efficiency for the Currency Option Market Using Stochastic Volatility Forecasts

  • Part IV: Empirical Studies and Options

    • Portfolio-Based Risk Pricing: Pricing Long-Term Put Options with GJR-GARCH(1,1)/Jump Diffusion Process
    • The Existence of Equilibrium in a Financial Market with Transaction Costs

  • Part V: Financial Economics and Portfolio Theory

    • Portfolio Generating Functions
    • The Existence of Equilibrium in a Financial Market with Transaction Costs

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New York University Mathematical Finance Seminar,Quantitative Analysis,Financial Markets