Quantitative modeling of derivative securities. From theory and practice

zbMATH Open0997.90508MaRDI QIDQ3365324FDOQ3365324

Authors: Peter Laurence, Marco Avellaneda 

Publication date: 2000

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Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01)

Cited In (14)

• Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao
• Modellierung derivater Finanzinstrumente
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• Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
• A new direct method for solving the Black-Scholes equation
• In memoriam: Marco Avellaneda (1955–2022)
• Econometric methods for derivative securities and risk management
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Handbook of recent advances in commodity and financial modeling. Quantitative methods in banking, finance, insurance, energy and commodity markets
• Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
• Title not available (Why is that?)
• Quantitative analysis in financial markets. Collected papers of the New York Universiity Mathematical Finance Seminar

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