Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar(Volume III)
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- Marco Avellaneda(New York University, USA)
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- Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "On The Regulation Of Fee Structures In Mutual Funds," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 1, pages 1-36, World Scientific Publishing Co. Pte. Ltd..
- Les Gulko, 2002. "The Mean-Variance Synthesis Of Corporate Balance Sheets," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 2, pages 37-65, World Scientific Publishing Co. Pte. Ltd..
- John M. Mulvey, 2002. "Multi-Stage Optimization For Long-Term Investors," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 3, pages 66-85, World Scientific Publishing Co. Pte. Ltd..
- Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "A Discrete–Time Approach To Arbitrage-Free Pricing Of Credit 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 III), chapter 4, pages 86-109, World Scientific Publishing Co. Pte. Ltd..
- Peter Carr & Alex Lipton & Dilip Madan, 2002. "An Alternative Approach For Valuing Continuous Cash Flows," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 5, pages 110-130, World Scientific Publishing Co. Pte. Ltd..
- Elyès Jouini & Clotilde Napp, 2002. "Arbitrage Pricing And Equilibrium Pricing: Compatibility Conditions," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 6, pages 131-158, World Scientific Publishing Co. Pte. Ltd..
- Mogens Bladt & Pablo Padilla, 2002. "Nonlinear Financial Models: Finite Markov Modulation And Its Limits," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 7, pages 159-171, World Scientific Publishing Co. Pte. Ltd..
- Jong-Shi Pang & Jacqueline Huang, 2002. "Pricing American Options With Transaction Costs By Complementarity Methods," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 8, pages 172-198, World Scientific Publishing Co. Pte. Ltd..
- Alexander Levin, 2002. "A Linearization Approach In Modeling Quasi-Affine Coupon Rate Term Structures And Related 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 III), chapter 9, pages 199-221, World Scientific Publishing Co. Pte. Ltd..
- J. F. Carrière, 2002. "A Generalized Ornstein-Uhlenbeck Process Of Yield Rates Calibrated With Strips," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 10, pages 222-246, World Scientific Publishing Co. Pte. Ltd..
- Takashi Yasuoka, 2002. "Mathematical Pseudo-Completion Of The Bgm Model," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 11, pages 247-274, World Scientific Publishing Co. Pte. Ltd..
- Thomas Little & Vijay Pant, 2002. "A Finite Difference Method For The Valuation Of Variance Swaps," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 12, pages 275-295, World Scientific Publishing Co. Pte. Ltd..
- Dong-Hyun Ahn & Bin Gao & Stephen Figlewski, 2002. "Pricing Discrete Barrier Options With An Adaptive Mesh Model," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 13, pages 296-313, World Scientific Publishing Co. Pte. Ltd..
- Raphaël Douady, 2002. "Bermudan Option Pricing With Monte-Carlo Methods," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 14, pages 314-328, World Scientific Publishing Co. Pte. Ltd..
- Juan D. Cárdenas & Emmanuel Fruchard & Jean-François Picron, 2002. "Linear, Yet Attractive, Contour," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 15, pages 329-335, World Scientific Publishing Co. Pte. Ltd..
- Marco Avellaneda & Roberta Gamba, 2002. "Conquering The Greeks In Monte Carlo: Efficient Calculation Of The Market Sensitivities And Hedge-Ratios Of Financial Assets By Direct Numerical Simulation," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 16, pages 336-351, World Scientific Publishing Co. Pte. Ltd..
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Keywords
Quantitative Analysis; Financial Markets;Statistics
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