Courant Institute of Mathematical Science
N. Y. University

Welcome to my home page

A list of typos, compiled and prepared by Nathan Welch
errata, as of 1-19-2001, for the book ``Quantitative Modeling of Derivative Securities : From theory to Practice,'' by Marco Avellaneda and Peter Laurence

For some of my online publications in Mathematical Finance click
here

My CV is viewable here
and a list of publications here

A bit outdated talk given at Princeton and at Banca SPIMI provides an
exposition of the earlier results. It is available here
A talk given at Cambridge University's
Newton Institute and at Imperial College, London in March, 2005
here

Another talk given at the Madrid Stock Exchange in
February, 2006
here

A talk given at CALTECH, April 2008, Implied volatility, fundamental solutions, asymptotic
analysis and symmetry methods available
here

A talk this May 2008 at Global Derivatives in Paris
here

For those interested in SABR models and asymptotic methods
in mathematical finance, here are the conference proceedings of aconference entirely devoted
to this topic held in February 2009 (Feb 10-13) see
here
.

for those interested in Energy and Commodities risk management,
pricing and hedging of commodity derivatives. This special year will be hosted at
the Wolgang Pauli Institute in Vienna. Beginning in January 2011, it
will consist in mini-courses, international conferences
and small research groups.

Older stuff:

I gave some lectures on
"Free Boundary Problems in Finance"
Spring of 2001 at the Courant Institute.