この情報を出力する

このページのリンク

引用にはこちらのURLをご利用ください

他の検索サイト

利用統計

  • このページへのアクセス：13回
  • 貸出数：1回
    (1年以内の貸出数：0回)

＜図書＞
Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar

責任表示 editor, Marco Avellaneda
データ種別 図書
出版情報 Singapore : World Scientific , c1999-
本文言語 英語
大きさ v. : ill. ; 26 cm
概要 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 & practition...rs 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.
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.
This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lectures 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.
This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lectures 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.
Contains lectures presented at the Courant Institute's Mathematical Finance Seminar. 続きを見る

所蔵情報


: pbk 中央図 3B 338.1/A 96/20000174 1999
017212000001748

v. 2 : hc 理系図3F 数理独自 P 001/QUAN/1-2 2001
023212000009212

書誌詳細

一般注記 A collection of papers presented at the weekly Mathematical Finance Seminar at New York University's Washington Square campus, 1995-1998
Includes bibliographical references
著者標目 *New York University Mathematical Finance Seminar (1995-1998 : New York University)
Avellaneda, Marco
件　名 LCSH:Finance -- Mathematical models -- Congresses  全ての件名で検索
分　類 NDC9:338.1
LCC:HG106
DC21:332
書誌ID 1000713125
ISBN 981023788X
NCID BA4414891X
巻冊次 v. [1] : hc ; ISBN:981023788X
v. [1] : pbk ; ISBN:9810237898
v. 2 : hc ; ISBN:9810242255
v. 2 : pbk ; ISBN:9810242263
v. 3 : hc ; ISBN:9810246935
登録日 2009.09.15
更新日 2009.11.02

類似資料