Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008
著者
書誌事項
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008
World Scientific, c2009
- タイトル別名
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Proceedings of the 2008 Daiwa International Workshop on Financial Engineering
Daiwa International Workshop on Financial Engineering
大学図書館所蔵 全14件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographies
内容説明・目次
内容説明
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.
目次
- Mean Square Error for the Leland-Lott Hedging Strategy (M Gamys & Y Kabanov)
- Variance Reduction for MC/QMC Methods to Evaluate Option Prices (J-P Fouque et al.)
- Quanto Pre-washing for Jump Diffusion Models (H Y Wong & K Y Lau)
- Estimation of the Local Volatility of Discount Bonds Using Market Quotes for Coupon-Bond Options (H Fujiwara et al.)
- Option Pricing based on Geometric Stable Processes and Minimal Entropy Martingale Measures (Y Miyahara & N Moriwaki)
- Arbitrage Pricing Under Transaction Costs: Continuous Time (E Denis)
- The Valuation of Callable Financial Commodities with Two Stopping Boundaries (K Sawaki et al.)
- Strategic Investment with Debt Financing (M Nishihara & T Shibata)
- Leland's Approximations for Concave Pay-off Functions (E Denis)
- Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity (M Ubukata & K Oya)
- The Impact of Momentum Trading on the Market Price and Trades (K Nishide)
- Real Options in a Duopoly Market with General Volatility Structure (M Kijima & T Shibata)
- Dynamic Asset Allocation under Stochastic Interest Rate and Market Price of Risk (K Tanaka).
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