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This invaluable 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.
- Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach (A Levin)
- Static Hedging of Exotic Options (P Carr et al.)
- Closed Form Formulas for Exotic Options and Their Lifetime Distribution (R Douady)
- Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (S E Posner & M A Milevsky)
- Pricing and Hedging American Options: A Recursive Integration Method (M G Subrahmanyam et al.)
- Piecewise Convex Function Estimation: Pilot Estimators (K S Riedel)
- E-ARCH Model for Implied Volatility Term-Structure of FX Options (Y-Z Zhu & M Avellaneda)
- Calibrating Volatility Surfaces via Relative-Entropy Minimization (M Avellaneda et al.)
- Portfolio-Based Risk Pricing: Pricing Long-Term Put Options with GJR-GARCH(1,1)/Jump Diffusion Process (D-J Guo & S Esipov)
- Portfolio Generating Functions (R Fernholz)
- and other papers
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