Using a financial-engineering approach, this volume demonstrates how to take the basic ideas of arbitrage theory and apply them to the design and analysis of financial products. It develops the theory progressively, focusing on specific relations between financial instruments in the cash, forward and options markets. The authors describe the nuances between theoretical and practical uses of mathematical models in day-to-day trading, and discuss specific risks, like pin risk and stop-loss risk, and their relation with dynamical hedging and mathematical models.

Presents a collection of papers presented at the Mathematical Finance Seminar, a seminar which meets weekly at New York University's Washington Square Campus. Papers are in sections on models and model selection, option pricing and exotics, time-series estimation, empirical studies involving options, and financial economics and portfolio theory. Papers reflect the diversity of quantitative research in finance, span a broad spectrum of financial applications, and have a strong theoretical content and applicability to trading and risk management.

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...

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...