Peter Laurence

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

I spend a lot of time in Rome, Italy, where I teach in the Statistics Faculty and in the Mathematics Department of Universita di Roma I

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A bit outdated talk given at Princeton and at Banca SPIMI provides an exposition of the earlier results.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 .

  • A Special Year 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.
  • Link to course web page

    • Lectures on " Basic Probability and Stochastic Processes" this summer at the Courant Institute.
  • Link to course web page Lectures in Masters in Mathematical Finance in the Statistics Department at Columbia University , Spring 2000



  • Summer 05', easy living with the goats and a sunken ship (look carefully directly behind me off the little island) ,
    on a greek island


    • Other:
  • My favourite site for a beautiful, but affordable gift here .

  • A Gallery of pictures of exercise & continuation regions for american basket options






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