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

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

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

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