Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / editors Akihiko Takahashi, the University of Tokyo, Japan, Yukio Muromachi, Tokyo Metropolitan University, Japan, Takashi Shibata, Tokyo Metropolitan University, Japan.

Includes bibliographical references and index.

Print version record.

Forward prices in markets driven by continuous-time autoregressive processes / F.E. Benth and S.A.S. Blanco -- A bottom-up dynamic model of portfolio credit risk. Part I: Markov copula perspective / T.R. Bielecki [and others] -- A bottom-up dynamic model of portfolio credit risk. Part II: Common-shock interpretation, calibration and hedging issues / T.R. Bielecki [and others] -- On the limit behavior of option hedging sets under transaction costs / J. Grepat -- 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.

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.

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