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Mathematical finance / Investment / Asian option / Forward contract / Put–call parity / Lookback option / Risk-neutral measure / Valuation of options / Binomial options pricing model / Financial economics / Options / Finance


Document Date: 2002-04-29 20:14:04

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City

New York / Oxford / Tokyo / /

Company

GE / /

Country

Japan / /

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Event

Dividend Issuance / /

Facility

Carnegie Mellon University / Kyoto University / Columbia University / Hosei University / Institute of Economic Research / University of Michigan / State University / /

IndustryTerm

analytical solution / closed form solutions / semianalytic solutions / few obvious closed form solutions / /

Organization

Columbia University / Department of Statistics / University of Michigan / Institute of Economic Research / Hosei University / State University / Kyoto University / Carnegie Mellon University / /

Person

Marek Musiela / Yoshio Miyahara / Dmitry Kramkov / Peter Carr / Eric Reiner / Forward Suppose / David Heath / Vadim Linetsky / Domino / Tadashi Uratani / Vicky Henderson / Steven Kou / Paul Glasserman / Mark Broadie / Stan Pliska / Ioannis Karatzas / William Shaw / Ryozo Miura / Roy Nicolaides / Dmitry Pugachevsky / Steven Shreve / Georgios Dalakouras / Jan Ve / /

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Position

e−rT / rT / General / Professor of Mathematical Finance / forward / Associate Professor / /

ProvinceOrState

Michigan / North Carolina / /

PublishedMedium

Journal of Financial and Quantitative Analysis / /

Technology

simulation / /

SocialTag