Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) Collected Papers of the New York University Mathematical Finance Seminar(Volume III)

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. On the regulation of fee structures in mutual funds / Sanjiv R. Das, Rangarajan K. Sundaram The mean-variance synthesis of corporate balance sheets / Les Gulko Multi-stage optimization for long-term investors / John M. Mulvey A discrete-time approach to arbitrage-free pricing of credit derivatives / Sanjiv R. Das, Rangarajan K. Sundaram An alternative approach for valuing continuous cash flows / Peter Carr, Alex Lipton, Dilip Madan Arbitrage pricing and equilibrium pricing: compatibility conditions / Elyès Jouini, Clotilde Napp Nonlinear financial models: finite Markov modulation and its limits / Mogens Bladt, Pablo Padilla Pricing American options with transaction costs by complementarity methods / Jong-Shi Pang, Jacqueline Huang A linearization approach in modeling quasi-affine coupon rate term structures and related derivatives / Alexander Levin A generalized Ornstein-Uhlenbeck process of yield rates calibrated with strips / Jacques Carrière Mathematical pseudo-completion of the BGM model / Takashi Yasuoka A finite difference method for the valuation of variance swaps / Thomas Little, Vijay Pant Pricing discrete barrier options with an adaptive mesh model / Dong-Hyun Ahn, Bin Gao, Stephen Figlewski Bermudan option pricing with Monte-Carlo methods / Raphaël Douady Linear, yet attractive, contour / Juan D. Cʹardenas, Emmanuel Fruchard, Jean-François Picron Conquering the Greeks in Monte Carlo: efficient calculation of the market sensitivities and hedge-ratios of financial assets by direct numerical simulation / Marco Avellaneda, Roberta Gamba. 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. Sample Chapter(s). Chapter 1: Introduction (90 KB). Chapter 1.1: Existing regulations (91 KB). Chapter 1.2: Modeling mutual funds (96 KB). Chapter 1.3: Main results (86 KB). Contents: Finance Theory and Asset Allocation; Arbitrage Pricing and Derivatives; Term-Structure Models; Algorithms for Pricing and Hedging. Reader This volume contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The lectures explore the subject of quantitative analysis in financial markets. 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.