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

Pt. I. Estimation and data-driven models. Transition densities for interest rate and other nonlinear diffusions / Yacine Ait-Sahalia -- Hidden Markov experts / Andreas Weigend and Shanming Shi -- When is time continuous? / Dimitris Bertsimas, Leonid Kogan and Andrew Lo -- Asset prices are Brownian motion: only in business time / Helyette Geman, Dilip Madan and Marc Yor -- Hedging under stochastic volatility / K. Ronnie Sircar -- pt. II. Model calibration and volatility smile. Determining volatility surfaces and option values from an implied volatility smile / Peter Carr and Dilip Madan -- Reconstructing the unknown local volatility function / Thomas Coleman, Yuying Li and Arun Verma -- Building a consistent pricing model from observed option prices / Jean-Paul Laurent and Dietmar Leisen -- Weighted Monte Carlo: a new technique for calibrating asset-pricing models / Marco Avellaneda [und weitere] -- pt. III. Pricing and risk management. One- and multi-factor valuation of mortgages: computational problems and shortcuts / Alexander Levin -- Simulating Bermudan interest-rate derivatives / Peter Carr and Guang Yang -- How to use self-similarities to discover similarities of path-dependent options / Alexander Lipton -- Monte Carlo within a day / Juan Cardenas [und weitere] -- Decomposition and search techniques in disjunctive programs for portfolio selection / Katherine Wyatt