Director, Program in Mathematics in Finance
Basic Information
Publications
Modern
Statistical Inference and Econometrics 2001
Modern
Statistical Inference and Econometrics 1999
Masters Seminar
Banking and Finance 1998
Mathematics in
Finance Homepage
Courant Home Page
Information:
President & COO, ICor Brokerage Inc.
(212) 997-9734
email: neil.chriss@icorbroker.com
Office Hours:
Office Hours: by appointment. Students are encouraged to speak
with me both about the econometrics course and financial mathematics in
general.
Finance Publications:
Articles:
January 2001: "Optimal Execution of Portfolio Transactions", Robert
Almgren and Neil Chriss, forthcoming, Journal of Risk
– A framework for portfolio trading that considers
transaction costs
(available in postscript
and PDF format)
October 1999: "Value under Liquidation", Robert Almgren and Neil
Chriss, to appear in Risk Magazine, December 1999
(available in postscript
and PDF format)
October 1999: "Volatility and Variance Swaps", Neil Chriss
and Bill Morokoff, RISK Magazine
– Risk management of volatility and
variance swaps
(available in postscript
and PDF format)
February 1998: "Pricing with a Difference", Neil Chriss and Kostas
Tsiveriotis, RISK Magazine, also in Hedging with Trees, Advances in Pricing
and Risk Managing Derivatives, RISK Books, 1998.
– An approach to implied volatility surfaces with
finite difference methods
July 1996: "Transatlantic Trees", Neil Chriss, RISK Magazine,
also in Hedging with Trees, Advances in Pricing and Risk Managing Derivatives,
RISK Books, 1998.
– Implied volatility trees for American
Options
Summer 1996: "Implied Trinomial Trees of the Volatility Smile",
Emanuel Derman, Iraj Kani, Neil Chriss, The Journal of Derivatives, also
in Volatility: New Estimation Techniques for Pricing Derivatives, RISK
Books, 1998.
– Implied trinomial trees explained
December 1995: "Digitals Defused", Neil Chriss and Michael
Ong, RISK Magazine
– A novel approach to pricing digital
options
Books:
The Black-Scholes and Beyond Interactive Toolkit, McGraw
Hill, 1998
Representation Theory and Complex Geometry, Neil Chriss and Victor Ginzburg, Birkhauser, 1998
Black-Scholes and Beyond: Modern Options Pricing, McGraw Hill, 1997
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