We establish new optimal bounds on the Ohmic conductivity tensor of a single-phase polycrystal through a comparison principle which uses a null-Lagrangian. A similar technique is used to obtain a sharp inequality correlating the conductivities of a two-phase composite material and the material...

We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or regressing stock returns on sector Exchange Traded Funds (ETFs). In both cases, the idiosyncratic returns are modelled as mean-reverting processes,...

Extensions to the Black-Scholes model have been suggested recently that permit one to calculate worst-case prices for a portfolio of vanilla options or for exotic options when no a priori distribution for the forward volatility is known. The Uncertain Volatility Model (UVM) by Avellaneda and...

This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms. Sample...

Cover -- Title Page -- Copyright -- Contents -- Preface -- 1 Why Big Data? -- Introduction -- Appendix 1.A Coding Big Data in Python -- Reference -- 2 Neural Networks in Finance -- Introduction -- Neural Network Construction Methodology -- The Architecture of Neural Networks -- Choosing the...

This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities...

There is increasing interest in understanding the role of neighborhood-level factors on the health of individuals. Many large-scale epidemiological studies that accurately measure health status of individuals and individual risk factors exist. Sometimes these studies are linked to area-level...

There is increasing interest in understanding the role of neighborhood-level factors on the health of individuals. Many large-scale epidemiological studies that accurately measure health status of individuals and individual risk factors exist. Sometimes these studies are linked to area-level...

This report details research on the relationship between education and wages. The work is largely based on the Labour Force Surveys 1992-2000 and the focus of the research is largely on academic education. The report contains microeconometric estimates of the relationship between (log) wages and...