Recent advances in financial engineering 2011 : proceedings of the International Workshop on Finance 2011 : Doshisha University, Kyoto, Japan, 3-4 August 2011
著者
書誌事項
Recent advances in financial engineering 2011 : proceedings of the International Workshop on Finance 2011 : Doshisha University, Kyoto, Japan, 3-4 August 2011
World Scientific, c2012
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注記
"This workshop was held as a successor to the Daiwai International Workshop (2004 to 2008), and the the KIER-TMU International Workshop (2009 and 2010). This year's workshop was organized by the Center for Advanced Research in Finance (CARF), the University of Tokyo, and Graduate School of Social Sciences, Tokyo Metropolitan University (TMU), and co-organized by Life Risk Research Center, Doshisha University."--Pref
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
- On the Representation of General Interest Rate Models as Square-Integrable Wiener Functionals (Lane P Hughston and Francesco Mina)
- On Pricing Contingent Capital Notes (Dilip B Madan)
- Conservative Delta Hedging Under Transaction Costs (Masaaki Fukasawa)
- The Theory of Optimal Investment in Information Security and Adjustment Costs: An Impulse Control Approach (Makoto Goto and Ken-ichi Tatsumi)
- Strategic Investment with Three Asymmetric Firms (Sunyoung Ko and Takashi Shibata)
- An Empirical Analysis of Japanese Interest Rate Swap Spread (Junji Shimada et al.)
- Optimal Trading with Cointegrated Pairs of Stocks (Yuji Yamada and James A Primbs)
- Analytical Approximation of Pricing Average Options Under the Heston Model (Akira Yamazaki)
- A Remark on Approximation of the Solutions to Partial Differential Equations in Finance (Akihiko Takahashi and Toshihiro Yamada)
- A Survey on Modeling and Analysis of Basis Spreads (Masaaki Fujii and Akihiko Takahashi).
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