Quantitative Analysis in Financial Markets Collected Papers of the New York University Mathematical Finance Seminar

This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers & presenters of papers are prominent researchers & 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 & hedging derivative securities &, 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. Contents: Calibrating Volatility Surfaces via Relative-Entropy Minimization (M Avellaneda et al.); Static Hedging of Exotic Options (P Carr et al.); Close for Formulas for Exotic Options & Their Lifetime Distribution (R Douady); Portfolio Generating Functions (R Fernholz); Portfolio Based Risk Pricing (D-J Guo & S Esipov); Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach (A Levin); Asian Options, the Sum of Lognormals & the Reciprocal Gamma Distribution (S E Posner & M Milevshy); Piecewise Convex Function Estimation (K Riedel); Pricing & Hedging American Options: A Recursive Integration Method (M Subrahmanyam et al.); E-ARCH Model for the Term-Structure of Implied Volatilities of FX Options (Y-Z Zhu & M Avellaneda); & other papers. Readership: Wall Street quantitative analysts & researchers in economics, finance & applied mathematics.