Advanced Topics Probability/Information
Theory and Applications To Finance
Reading List
We have set up a ``green box'' at the Courant Library
that has all the reprints
and preprints, including
Thorpe's paper.
The theses (Samperi, Gulko, Carelli) are there as well as a
copy of the book by R R Chen. Cover and Thomas is on reserve.
1. Marco Avellaneda
Minimum Entropy Algorithm and Related Methods for Calibrating Asset-Pricing
Models
Preprint, 1998
2. M. Avellaneda, Friedman, C., Holmes, R. and Samperi, D.
Calibrating Volatility Surfaces Via Relative-Entropy Minimization
Preprint, Applied Math Finance 1997
3. E. Thorp
Optimal Gambling Systems for Favorable Games
Int. Journ. Statistics, 1969
4. D. Samperi
Inverse Problems, Model Selection, and Entropy in Derivative Security Pricing
NYU Thesis (Math), 1997
5. Bollerslav (Les) Gulko
The Entropy Pricing Theory
Yale Thesis (Finance), 1997
6. Andrea Carelli
Entropia Et Reti Neurali Per Il Pricing Di Opzioni
University of Milano (Comp Sci), 1997
7. Ren-Raw Chen
Understanding and Managing Interest Rate Risks
World Scientific Publishing, 1996
8. Thomas M. Cover and Joy A. Thomas
Elements of Information Theory
John Wiley & Sons 1991
9. Tomasz R. Bielecki and Stanley R. Pliska
Risk Sensitive Dynamic Asset Management
University of Illinois at Chicago, Preprint, 1997