Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 /
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 th...
| Автор-организация: | Daiwa International Workshop on Financial Engineering Tokyo, Japan), World Scientific (Firm) |
|---|---|
| Други автори: | Kijima, Masaaki, 1957- |
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Singapore ; Hackensack, N.J. :
World Scientific,
℗♭2009.
|
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=305313 |
Съдържание:
- 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.