Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / editors, Masaaki Kijima [and others].

By:

Daiwa International Workshop on Financial Engineering (2008 : Tokyo, Japan)

Contributor(s):

Material type: Text

text

Media type:

computer

Carrier type:

online resource

ISBN:

9789814273473
9814273473
1282443097
9781282443099
9786612443091
661244309X

Other title:

Proceedings of the 2008 Daiwa International Workshop on Financial Engineering
Daiwa International Workshop on Financial Engineering

Subject(s):

Genre/Form:

Additional physical formats: No title; No titleDDC classification:

332.60151 22

LOC classification:

HG176.7 D35 2008eb

Online resources:

Click here to access online

Contents:

Mean square error for the Leland-Lott Hedging strategy / M. Gamys and Y. Kabanov -- Variance reduction for MC/QMC methods to evaluate option prices / J.-P. Fouque, C.-H. Han and Y. Lai -- Estimation of the local volatility of discount bonds using market quotes for coupon-bond options / H. Fujiwara, M. Kijima and K. Nishide -- Real options in a duopoly market with general volatility structure / M. Kijima and T. Shibata -- Arbitrage pricing under transaction costs : continuous time / E. Denis -- Leland's approximations for concave pay-off functions / E. Denis -- Option pricing based on geometric stable processes and minimal entropy Martingale measures / Y. Miyahara and N. Moriwaki -- The impact of momentum trading on the market price and trades / K. Nishide -- Investment game with debt financing / M. Nishihara and T. Shibata -- The valuation of callable financial commodities with two stopping boundaries / K. Sawaki, A. Suzuki and K. Yagi -- Statistical properties of covariance estimator of microstructure noise: dependence, rare jumps and endogeneity / M. Ubukata and K. Oya -- Quanto pre-washing for jump diffusion models / H.Y. Wong and K.Y. Lau.

Summary: 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.

Item type:

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

Includes bibliographical references.

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.