Recent Advances In Financial Engineering Proceedings Of The 2008 Daiwa International Workshop On Financial Engineering
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Recent Advances In Financial Engineering Proceedings Of The 2008 Daiwa International Workshop On Financial Engineering
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Author :
language : en
Publisher:
Release Date : 2009
Recent Advances In Financial Engineering Proceedings Of The 2008 Daiwa International Workshop On Financial Engineering written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Recent Advances In Financial Engineering
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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2009
Recent Advances In Financial Engineering written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Mathematics categories.
This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. This book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.
Recent Advances In Financial Engineering 2010
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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2011-06-17
Recent Advances In Financial Engineering 2010 written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-17 with Mathematics categories.
This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU). The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers — all refereed — representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing. Contents:The Distribution of Returns at Longer Horizons (E Eberlein & D B Madan)Two Examples of an Insider with Medium/Long Term Effects on the Underlying (H Hata & A Kohatsu-Higa)A Note on the Risk Management of CDOs (J-P Laurent)Robust No Arbitrage Condition for Continuous-time Models with Transaction Cost (E Denis)Modeling of Interest-Rate Term Structures under Collateralization and Its Implications (M Fujii & A Takahashi)On the State Variables for Optimal Portfolio Strategies in the Japanese Market (S Kamimura)The Diversity of Information Acquisition Strategies in a Noisy REE Model with a Common Signal and Independent Signals (S Kawanishi)Option Pricing with a Regime-Switching Lévy Model (C C Siu)An Empirical Analysis of Equity Market Expectations in the Financial Turmoil Using Implied Moments and Jump Diffusion Processes (Y Sugihara & N Oda)Investor Characteristics and Portfolio Value (N Takezawa)Optimal Hedging with Additive Models (Y Yamada) Readership: Students, professionals, workshop participants, organizations and societies focused on finance or operations research. Keywords:Operations Research;Financial Engineering;Management;Mathematical Modeling;Credit Risk;Real Options;Optimal Investment;Heterogeneous BeliefsKey Features:Wide coverage of the research themesContains the most updated research resultsNumerous global contributions
Recent Advances In Financial Engineering 2012
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Author : Akihiko Takahashi
language : en
Publisher: World Scientific
Release Date : 2014-02-24
Recent Advances In Financial Engineering 2012 written by Akihiko Takahashi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-24 with Business & Economics categories.
Recent Advances in Financial Engineering 2012 is the Proceedings of the International Workshop on Finance 2012, which was held at the University of Tokyo on October 30 and 31, 2012. This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics, the University of Tokyo, and Graduate School of Social Sciences, Tokyo Metropolitan University (TMU). This annual workshop, which was first held in 2011, is a successor to the Daiwa International Workshop (2004 to 2008) and the KIER–TMU International Workshop (2009 to 2010). The workshop was designed for the exchange of new ideas in financial engineering and to serves as a bridge between academic researchers and practitioners. To these ends, the speakers shared various interesting ideas, information on new methods, and their up-to-date research results. In the 2012 workshop, we invited nine leading scholars, including three keynote speakers, from various countries, and the two-day workshop resulted in many fruitful discussions. The book consists of eight papers, all refereed, that were related to the presentations at the International Workshop on Finance 2012. In these papers, the latest concepts, methods, and techniques related to current topics in financial engineering are proposed and reviewed. Contents:Forward Prices in Markets Driven by Continuous-Time Autoregressive Processes (F E Benth & S A S Blanco)A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective (T R Bielecki, A Cousin, S Crépey, A Herbertsson)A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues (T R Bielecki, A Cousin, S Crépey, A Herbertsson)On the Limit Behavior of Option Hedging Sets Under Transaction Costs (J Grépat)Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function (K Ishitani and T Kato)Optimal Investment Timing and Volume Decisions Under Debt Borrowing Constraints (T Shibata and M Nishihara)Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation (C M Tam)Mean-Variance Pre-Commitment Policies Revisited Via a Mean-Field Technique (A Bensoussan, K C Wong, S C P Yam) Readership: Graduate and postgraduate students of financial engineering and mathematical finance; academics and practitioners; quantitative researchers on financial markets. Keywords:Financial Engineering;Mathematical Finance;Money & Banking;Risk Management;Real Option;Corporate Finance;Computational Finance
Recent Advances In Financial Engineering
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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2010
Recent Advances In Financial Engineering written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.
Recent Advances In Financial Engineering
DOWNLOAD
Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2011
Recent Advances In Financial Engineering written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo. It was for an exchange of new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU). The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers - all refereed - representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing.
Recent Advances In Financial Engineering 2012
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Author : Akihiko Takahashi
language : en
Publisher: World Scientific Publishing Company Incorporated
Release Date : 2014
Recent Advances In Financial Engineering 2012 written by Akihiko Takahashi and has been published by World Scientific Publishing Company Incorporated this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business & Economics categories.
Recent Advances in Financial Engineering 2012 is the Proceedings of the International Workshop on Finance 2012, held in Kyoto, in Autumn 2012 with the aim of exchanging new ideas in financial engineering among researchers from various countries from both academia and industry. The workshop was held as a successor to the Daiwa International Workshop (2004 2008), the KIER-TMU International Workshop (2009 2010) and the International Workshop on Finance (2011). This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics, the University of Tokyo, and Graduate School of Social Sciences, Tokyo Metropolitan University. This book serves as a bridge between academic researchers and practitioners. It contains fifteen papers, all refereed, representing the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering.
Recent Advances In Financial Engineering 2009
DOWNLOAD
Author :
language : en
Publisher:
Release Date :
Recent Advances In Financial Engineering 2009 written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Recent Advances In Financial Engineering Proceedings Of The 2008 Daiwa International Workshop On Financial Engineering
DOWNLOAD
Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2009-06-02
Recent Advances In Financial Engineering Proceedings Of The 2008 Daiwa International Workshop On Financial Engineering written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-02 with Mathematics categories.
This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.
Recent Advances In Financial Engineering 2011
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Author : Akihiko Takahashi
language : en
Publisher: World Scientific
Release Date : 2012-05-21
Recent Advances In Financial Engineering 2011 written by Akihiko Takahashi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-21 with Mathematics categories.
This book is the Proceedings of the International Workshop on Finance 2011, held in Kyoto in the summer of 2011 with the aim of exchanging new ideas in financial engineering among researchers from various countries from both academia and industry. The workshop was held as a successor to the Daiwa International Workshop (2004–2008), and the KIER-TMU International Workshop (2009–2010). This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics, the University of Tokyo, and Graduate School of Social Sciences, Tokyo Metropolitan University — and co-organized by Life Risk Research Center, Doshisha University. The workshop serves as a bridge between academic researchers and practitioners. This book contains about fifteen papers, all refereed, representing the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. Contents:On the Representation of General Interest Rate Models as Square-Integrable Wiener Functionals (L P Hughston and F Mina)On Pricing Contingent Capital Notes (D B Madan)A Survey on Modeling and Analysis of Basis Spreads (M Fujii and A Takahashi)Conservative Delta Hedging Under Transaction Costs (M Fukasawa)The Theory of Optimal Investment in Information Security and Adjustment Costs: An Impulse Control Approach (M Goto and K Tatsumi)Strategic Investment with Three Asymmetric Firms (S Ko and T Shibata)An Empirical Analysis of Japanese Interest Rate Swap Spread (J Shimada, T Takahashi, T Miyakoshi, and Y Tsukuda)A Remark on Approximation of the Solutions to Partial Differential Equations in Finance (A Takahashi and T Yamada)Optimal Trading with Cointegrated Pairs of Stocks (Y Yamada and J A Primbs)Analytical Approximation of Pricing Average Options under the Heston Model (A Yamazaki) Readership: Graduate and postgraduate students of financial engineering and mathematical finance; academics and practitioners; quantitative researchers on financial markets. Keywords:Financial Engineering;Mathematical Finance;Money & Banking;Risk Management;Real Option;Corporate Finance;Computational FinanceKey Features:Wide coverage of the research themesMost up-to-date research resultsResearch straddling academia and industryAddresses state-of-the-art techniques in financial engineering