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