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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

2009-4    Ivailo Dimov, Petter Kolm, Lee Maclin, Dan Shiber, Hidden Noise Structure and Random Matrix Models of Stock Correlations

2010

2010-1    Keith Lewis, The Fundamental Theorem of Asset Pricing: Discrete Time

2010-2    James Schmitz, Algorithmic Trading in the Iowa Electronic Markets

2010-3    Kleinberg, Kolm, Mishra, Investigating Casual Relationships in Stock Returns with Temporal Logic Based Methods

2011

2011-1   Daniel Mitchell and Jonathan Goodman, An Accurate Representation of the Early Exercise Boundary of American Options with Stochastic Volatility (revised version)