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Quantitative Analysis in Financial Markets
Contains lectures presented at the Courant Institute's Mathematical Finance Seminar.
Big Data Science in Finance
Explains the mathematics, theory, and methods of Big Data as applied to finance and investing Data science has fundamentally changed Wall Street—applied mathematics and software code are increasingly driving finance and investment-decision tools. Big Data Science in Finance examines the mathematics, theory, and practical use of the revolutionary techniques that are transforming the industry. Designed for mathematically-advanced students and discerning financial practitioners alike, this energizing book presents new, cutting-edge content based on world-class research taught in the leading Financial Mathematics and Engineering programs in the world. Marco Avellaneda, a leader in quantitative...
Quantitative Modeling of Derivative Securities
Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a ""financial engineering approach,"" the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
Introduction to Mathematical Finance
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 developmen...
Pairs Trading
The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Composite Media and Homogenization Theory
This volume contains the Proceedings of the Workshop on Composite Media and Homogenization Theory held in Trieste, Italy, from January 15 to 26, 1990. The workshop was organized by the International Centre for Theo retical Physics (ICTP); part of the activity was co-sponsored by the Interna tional School for Advanced Studies (SISSA). The workshop covered a broad range of topics in the mathematical the ory of composite materials and homogenization. Among the specific areas of focus were homogenization of periodic and nonperiodic structures, porous me dia, asymptotic analysis for linear and nonlinear problems, optimal bounds for effective moduli, waves in composite materials, optimal design an...
Uncertain Volatility Models
This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.
Derivatives
Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models co...
Antigone on the Contemporary World Stage
Antigone on the Contemporary World Stage is the first book to analyse what happens to Sophocles' play as it is adapted and (re)produced around the world, and the first to focus specifically on Antigone in performance. The essays, by an international gathering of noted scholars from a wide range of disciplines, highlight the numerous ways in which social, political, historical, and cultural contexts transform the material, how artists and audiences in diverse societies including Argentina, The Congo, Finland, Haiti, India, Japan, and the United States interact with it, and the variety of issues it has been used to address.
