Marco Avellaneda – Quantitative Analysis in Financial Markets

Marco Avellaneda – Quantitative Analysis in Financial Markets

This quantity incorporates lectures delivered on the celebrated Seminar in Mathematical Finance on the Courant Institute. The lecturers and presenters of papers are outstanding researchers and practitioners in the sphere of quantitative monetary modelling. Most are school members at main universities or Wall Street practitioners. The lectures cope with the rising science of pricing and hedging spinoff securities and, extra typically, managing monetary threat. Specific articles concern matters akin to choice idea, dynamic hedging, interest-rate modelling, portfolio idea, value forecasting utilizing statistical strategies, and extra.

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 (Okay 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 (Okay Wyatt)