Author: Marco Avellaneda Publisher: World Scientific ISBN: 9814495212 Category : Business & Economics Languages : en Pages : 387
Book Description
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.
Author: Martino Bardi Publisher: Springer ISBN: 3540690433 Category : Mathematics Languages : en Pages : 268
Book Description
The volume comprises five extended surveys on the recent theory of viscosity solutions of fully nonlinear partial differential equations, and some of its most relevant applications to optimal control theory for deterministic and stochastic systems, front propagation, geometric motions and mathematical finance. The volume forms a state-of-the-art reference on the subject of viscosity solutions, and the authors are among the most prominent specialists. Potential readers are researchers in nonlinear PDE's, systems theory, stochastic processes.
Author: Ioannis Karatzas Publisher: Springer ISBN: 1493968459 Category : Mathematics Languages : en Pages : 426
Book Description
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Author: David C. Heath Glen Swindle Publisher: American Mathematical Soc. ISBN: 9780821867624 Category : Investments Languages : en Pages : 184
Book Description
The foundation for the subject of mathematical finance was laid nearly 100 years ago by Bachelier in his fundamental work, Theorie de la speculation. In this work, he provided the first treatment of Brownian motion. Since then, the research of Markowitz, and then of Black, Merton, Scholes, and Samuelson brought remarkable and important strides in the field. A few years later, Harrison and Kreps demonstrated the fundamental role of martingales and stochastic analysis in constructing and understanding models for financial markets. The connection opened the door for a flood of mathematical developments and growth. Concurrently with these mathematical advances, markets have grown, and developments in both academia and industry continue to expand. This lively activity inspired an AMS Short Course at the Joint Mathematics Meetings in San Diego (CA). The present volume includes the written results of that course. Articles are featured by an impressive list of recognized researchers and practitioners. Their contributions present deep results, pose challenging questions, and suggest directions for future research. This collection offers compelling introductory articles on this new, exciting, and rapidly growing field.
Author: John Howland Cochrane Publisher: ISBN: Category : Arbitrage Languages : en Pages : 84
Book Description
It is often useful to price assets and other random payoffs by reference to other observed prices rather than construct full-fledged economic asset pricing models. This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive usefully tight bounds on asset prices in this situation. The bounds basically rule out high Sharpe ratios - `good deals' - as well as arbitrage opportunities. We present the method of calculation, we extend it to a multiperiod context by finding a recursive solution, and we apply it to option pricing examples including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree rate.
Author: Lishang Jiang Publisher: World Scientific ISBN: 9812563695 Category : Science Languages : en Pages : 344
Book Description
From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.
Author: Richard R. Lindsey Publisher: John Wiley & Sons ISBN: 1118044754 Category : Business & Economics Languages : en Pages : 406
Book Description
Praise for How I Became a Quant "Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund "A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange "How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk. How I Became a Quant reveals the faces behind the quant revolution, offering you?the?chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.
Author: Marco Avellaneda
Author: Martino Bardi
Author: Ioannis Karatzas
Author: Shri Bhagwan Dahiya
Author: David C. Heath Glen Swindle
Author: 
Author: John Howland Cochrane
Author: 
Author: Lishang Jiang
Author: Richard R. Lindsey