Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar / editor, Marco Avellaneda.

Format:

Book

Conference/Event

Contributor:

Avellaneda, Marco, 1955-

Conference Name:

New York University Mathematical Finance Seminar (1995-1998)

Language:

English

Subjects (All):

Finance--Mathematical models--Congresses.

Finance.

Economics--Mathematical models--Congresses.

Economics.

Physical Description:

1 online resource (387 p.)

Place of Publication:

Singapore ; River Edge, NJ : World Scientific, c1999-c2001.

Language Note:

English

Summary:

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 forecasti

Contents:

ACKNOWLEDGEMENTS; INTRODUCTION; THE CONTRIBUTORS; CONTENTS; MULTIVARIATE BINOMIAL APPROXIMATIONS FOR ASSET PRICES WITH NONSTATIONARY VARIANCE AND COVARIANCE CHARACTERISTICS*; 1. Statement of the Problem and Notation; 2. Relationship to the Literature on Binomial Approximations and Option Pricing; 3. A Method for Constructing a Univariate Binomial Process with Specified Variances; 3.1. Properties of the approximation for small n; 4. The Multivariate Case; 4.1. The multiperiod, multivariate case; 5. Applications of the Methodology to Option Pricing; 5.1. American-style options

5.2. An example: the valuation of a twice exerciseable, quality option6. Conclusions; Appendix A. Proof of Lemma 1 and Theorem 2; Appendix B. The Binomial Probability in the Case of a Multivariate Lognormal Stochastic Process; B.l. The general problem; B.2. The time series problem with two time periods; B.3. T/ie multivariate time-series problem; References; DERIVING CLOSED-FORM SOLUTIONS FOR GAUSSIAN PRICING MODELS: A SYSTEMATIC TIME-DOMAIN APPROACH; 1. Finding Conditional Statistics via the Linear System Theory; 1.1. An example of a linear system: the Hull-White interest rate model

1.2. The linear system theory: finding conditional statistics1.3. Conditional statistics for quasi-linear systems; 2. Constructing Arbitrage-Free Gaussian Term Structures; 2.1. Local arbitrage-free conditions for Gaussian models; 2.2. Arbitrage-free conditions for the Hull-White model; 2.3. Introduction of a second factor into the interest rate model; 2.4. Modeling coupon rates; 3. A Price Premium Formula for Dynamic Assets; 4. Derivation of Closed-Form Solutions; 4.1. A key transition: factoring out the discount factor; 4.2. Special (Jamshidian's) case: m = 1, x - r(t) and y' = y(t)

4.3. Special case: a linear payoff4.4. Special case: a piece-wise defined payoff; 4.5. Summary of the method; 5. Examples; 5.1. European options on discount bond; 5.2. Swaps, swaptions, caps, floors; 5.3. Non-maturing deposits; 5.4. Loans and mortgages; 5.5. The conversion option; 5.6. A term-structure-extended Black-Scholes formula (R. Merton's problem); 5.7. Asian-style (arithmetic) options and lookback options; 6. Conclusion; Appendix A; Appendix B; Appendix C; Acknowledgements; References; MODELS FOR ESTIMATING THE STRUCTUREOF INTEREST RATES FROM OBSERVATIONS OF YIELD CURVES*

1. Introduction: Approach for Estimating Uncertainty in Dynamical Systems1.1. Min-Max observation problem under uncertainty with perturbations; 2. A Simple Model for Asset Prices with Nonstochastic Uncertainty; 2.1. A description of an uncertainty walk; 2.2. Modelling asset prices with input perturbations; 2.2.1. Point impulse perturbations for piecewise constant asset prices; 2.2.2. Impulse perturbations for piecewise linear asset prices; 2.3. Estimating input perturbations and asset price trajectories; 3. Building Linear Dynamic Systems from Stochastic Differential Interest Rate Models

4. Estimation of the Term Structure of Interest Rates Under Observation of Yield Curves

Notes:

Description based upon print version of record.

Includes bibliographical references.

ISBN:

9789812812599

9812812598