Topic in Applied Probability: The Mathematics of Financial Risk Management

[内容介绍]
Marco Avellaneda 的 course note, 根据第一页的 Syllabus 课程内容有
1. Probability and stochastic processes in nancial modeling Review of continuoustime finance and of the BlackScholesMerton theory of derivative asset pricing
2. Liquidity constraints in dynamic riskmanagement hedging with transaction costs and with limits on cashmarket positions
3. Stochastic volatility and its impact on pricing and hedging Implied ArrowDebreu probabilities the
inverse problem of Mathematical finance
4. The Uncertain Volatility Model hedging exotic options and option portfolios using liquid options
但我没仔细看，不确定这份 note 是否真的包含了这些东西。确定的是后面有两篇 Avellaneda 的论文。

[文件数/格式/大小] 一个 rar 压缩档(829 K) 内含一个 pdf 档