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Marco Avellaneda – Quantitative Analysis in Financial Markets

(6 customer reviews)

Original price was: $136.00.Current price is: $8.00.

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MARCO AVELLANEDA – QUANTITATIVE ANALYSIS IN FINANCIAL MARKETS

This volume 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 modelling. 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 modelling, portfolio theory, price forecasting using statistical methods, and more.

CONTENTS:

  • Estimation and Data-Driven Models:
    • Transition Densities for Interest Rate and Other Nonlinear Diffusions (Y Aït-Sahalia)
    • Hidden Markov Experts (A Weigend & S-M Shi)
    • When is Time Continuous? (A Lo et al.)
    • Asset Prices are Brownian Motion: Only in Business Time (H Geman et al.)
    • Hedging Under Stochastic Volatility (K Ronnie Sircar)
  • Model Calibration and Volatility Smile:
    • Determining Volatility Surfaces and Option Values from an Implied Volatility Smile (P Carr & D Madan)
    • Reconstructing the Unknown Local Volatility Function (T Coleman et al.)
    • Building a Consistent Pricing Model from Observed Option Prices (J-P Laurent & D Leisen)
    • Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models (M Avellaneda et al.)
  • Pricing and Risk Management:
    • One- and Multi-Factor Valuation of Mortgages: Computational Problems and Shortcuts (A Levin)
    • Simulating Bermudan Interest-Rate Derivatives (P Carr & G Yang)
    • How to Use Self-Similarities to Discover Similarities of Path-Dependent Options (A Lipton)
    • Monte Carlo Within a Day (J Cárdenas et al.)
    • Decomposition and Search Techniques in Disjunctive Programs for Portfolio Selection (K Wyatt)

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6 reviews for Marco Avellaneda – Quantitative Analysis in Financial Markets

  1. Phoenix (verified owner)

    I appreciated the practical examples included in the course.

  2. Tyler (verified owner)

    The lessons were clear and easy to understand.

  3. Sean Bennett (verified owner)

    The course was engaging and easy to follow.

  4. Owen (verified owner)

    I was able to apply what I learned immediately. Thank you!

  5. Amanda Martinez (verified owner)

    I enjoyed the interactive elements of the course.

  6. Alexander King (verified owner)

    Great value for the price. Highly recommend!

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