Mathematics in Finance Working Paper Series
The Mathematics in Finance Working Paper Series is produced by the faculty of the Mathematics in Finance Masters Program and the Division of Financial Mathematics.
2007-1 Jonathan Goodman and Daniel N. Ostrov, Balancing Small Transaction Costs with Loss of Optimal Allocation in Single and Multiple Stock Portfolios
2007-2 Marco Avellaneda and Paul Besson, Hedge Funds: How Big is Big?
2007-3 Jonathan Goodman and Daniel N. Ostrov, An Option to Reduce Transaction Costs
2008-1 Peter Carr and Bjorn Flesaker, Robust Replication of Default Contingent Claims
2008-2 Peter Carr and Roger Lee, Put-Call Symmetry: Extensions and Applications
2008-3 Peter Carr and Roger Lee, Robust Replication of Volatility Derivatives
2008-4 Peter Carr and Liuren Wu, A Simple Robust Link between American Puts and Credit Insurance
2008-5 Thomas Hewett and Kenneth Winston, Long-Short Portfolio Behavior with Barriers
2008-6 Jim Gatheral, No Dynamic - Arbitrage and Market Impact
2009-1 Petter Kolm and Lee Maclin, Algorithmic Trading (to appear in "Encyclopedia of Quantitative Finance", edited by Rama Cont, John Wiley & Sons Ltd. Copyright 2009. All Rights Reserved.)
2009-2 Robert Almgren, Optimal Trading in a Dynamic Market
2009-3 Daniel Mitchell and Jonathan Goodman, An Accurate Representation of the Early Exercise Boundary of American Options with Stochastic Volatility