TY  - BOOK
AU  - Takahashi,Akihiko
AU  - Muromachi,Yukio
AU  - Shibata,Takashi
ED  - International Workshop on Finance
TI  - Recent advances in financial engineering 2012: proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 
SN  - 9789814571647
AV  - HG176.7 .I575 2012eb
U1  - 332.64/5 23
PY  - 2014///]
CY  - New Jersey
PB  - World Scientific
KW  - Financial engineering
KW  - Congresses
KW  - Ingénierie financière
KW  - Congrès
KW  - BUSINESS & ECONOMICS
KW  - Finance
KW  - bisacsh
KW  - fast
KW  - Electronic books
KW  - Conference papers and proceedings
N1  - Includes bibliographical references and index; 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
N2  - 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
UR  - https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=752604
ER  -