Recent Advances In Financial Engineering 2010

Author : Masaaki Kijima,Chiaki Hara,Yukio Muromachi,Hidetaka Nakaoka,Katsumasa Nishide
Publisher : World Scientific
Page : 260 pages
File Size : 52,9 Mb
Release : 2011-06-17
Category : Mathematics
ISBN : 9789814458245

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Recent Advances in Financial Engineering 2010 by Masaaki Kijima,Chiaki Hara,Yukio Muromachi,Hidetaka Nakaoka,Katsumasa Nishide Pdf

This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU). The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers — all refereed — representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing. Contents:The Distribution of Returns at Longer Horizons (E Eberlein & D B Madan)Two Examples of an Insider with Medium/Long Term Effects on the Underlying (H Hata & A Kohatsu-Higa)A Note on the Risk Management of CDOs (J-P Laurent)Robust No Arbitrage Condition for Continuous-time Models with Transaction Cost (E Denis)Modeling of Interest-Rate Term Structures under Collateralization and Its Implications (M Fujii & A Takahashi)On the State Variables for Optimal Portfolio Strategies in the Japanese Market (S Kamimura)The Diversity of Information Acquisition Strategies in a Noisy REE Model with a Common Signal and Independent Signals (S Kawanishi)Option Pricing with a Regime-Switching Lévy Model (C C Siu)An Empirical Analysis of Equity Market Expectations in the Financial Turmoil Using Implied Moments and Jump Diffusion Processes (Y Sugihara & N Oda)Investor Characteristics and Portfolio Value (N Takezawa)Optimal Hedging with Additive Models (Y Yamada) Readership: Students, professionals, workshop participants, organizations and societies focused on finance or operations research. Keywords:Operations Research;Financial Engineering;Management;Mathematical Modeling;Credit Risk;Real Options;Optimal Investment;Heterogeneous BeliefsKey Features:Wide coverage of the research themesContains the most updated research resultsNumerous global contributions

Author : Masaaki Kijima
Publisher : World Scientific
Page : 258 pages
File Size : 47,7 Mb
Release : 2011
Category : Business & Economics
ISBN : 9789814366038

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Recent Advances in Financial Engineering by Masaaki Kijima Pdf

This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo. It was for an exchange of new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU). The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers - all refereed - representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing.

Author : Akihiko Takahashi,Yukio Muromachi,Takashi Shibata
Publisher : World Scientific
Page : 208 pages
File Size : 54,6 Mb
Release : 2014-02-24
Category : Business & Economics
ISBN : 9789814571654

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Recent Advances in Financial Engineering 2012 by Akihiko Takahashi,Yukio Muromachi,Takashi Shibata Pdf

Recent Advances in Financial Engineering 2012 is the Proceedings of the International Workshop on Finance 2012, which was held at the University of Tokyo on October 30 and 31, 2012. 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 (TMU). This annual workshop, which was first held in 2011, is a successor to the Daiwa International Workshop (2004 to 2008) and the KIER–TMU International Workshop (2009 to 2010). The workshop was designed for the exchange of new ideas in financial engineering and to serves as a bridge between academic researchers and practitioners. To these ends, the speakers shared various interesting ideas, information on new methods, and their up-to-date research results. In the 2012 workshop, we invited nine leading scholars, including three keynote speakers, from various countries, and the two-day workshop resulted in many fruitful discussions. The book consists of eight papers, all refereed, that were related to the presentations at the International Workshop on Finance 2012. In these papers, the latest concepts, methods, and techniques related to current topics in financial engineering are proposed and reviewed. Contents:Forward Prices in Markets Driven by Continuous-Time Autoregressive Processes (F E Benth & S A S Blanco)A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective (T R Bielecki, A Cousin, S Crépey, A Herbertsson)A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues (T R Bielecki, A Cousin, S Crépey, A Herbertsson)On the Limit Behavior of Option Hedging Sets Under Transaction Costs (J Grépat)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) Readership: Graduate and postgraduate students of financial engineering and mathematical finance; academics and practitioners; quantitative researchers on financial markets. Keywords:Financial Engineering;Mathematical Finance;Money & Banking;Risk Management;Real Option;Corporate Finance;Computational Finance

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 51,7 Mb
Release : 2024-06-17
Category : Electronic
ISBN : 9789814465229

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Recent Advances in Financial Engineering 2009 by Anonim Pdf

Author : Akihiko Takahashi,Yukio Muromachi,Takashi Shibata
Publisher : World Scientific Publishing Company Incorporated
Page : 198 pages
File Size : 48,9 Mb
Release : 2014
Category : Business & Economics
ISBN : 9814571636

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Recent Advances in Financial Engineering 2012 by Akihiko Takahashi,Yukio Muromachi,Takashi Shibata Pdf

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.

Author : Akihiko Takahashi
Publisher : World Scientific
Page : 231 pages
File Size : 51,8 Mb
Release : 2012-05-21
Category : Business & Economics
ISBN : 9789814407335

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Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 by Akihiko Takahashi Pdf

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 (2004OCo2008), and the KIER-TMU International Workshop (2009OCo2010). 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 OCo 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."

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 43,6 Mb
Release : 2009
Category : Electronic
ISBN : OCLC:748210170

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Recent Advances In Financial Engineering - Proceedings Of The 2008 Daiwa International Workshop On Financial Engineering by Anonim Pdf

Author : Masaaki Kijima,Yukio Muromachi,Takashi Shibata (Associate professor)
Publisher : World Scientific
Page : 237 pages
File Size : 53,5 Mb
Release : 2016
Category : Electronic books
ISBN : 9789814730778

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Recent Advances in Financial Engineering 2014 by Masaaki Kijima,Yukio Muromachi,Takashi Shibata (Associate professor) Pdf

"Since 2004, the Tokyo Metropolitan University (TMU) has been conducting workshops that serve as a forum for academic researchers and practitioners to exchange ideas and developments in different fields of finance. This book is based on papers presented at the 2014 workshop held in Tokyo, on 6-7 November, 2014. The chapters address state-of-the-art techniques in mathematical finance and financial engineering. The authors share ideas and information on new methods and up-to-date results of their research in these fields. This book is a must-read for researchers, practitioners, and graduate students in the fields of mathematical finance, quantitative finance and financial engineering."--Provided by publisher.

Author : Masaaki Kijima,Chiaki Hara,Keiichi Tanaka
Publisher : World Scientific
Page : 284 pages
File Size : 54,5 Mb
Release : 2010
Category : Mathematics
ISBN : 9789814299893

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Recent Advances in Financial Engineering by Masaaki Kijima,Chiaki Hara,Keiichi Tanaka Pdf

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.

Author : Masaaki Kijima,Yukio Muromachi,Takashi Shibata
Publisher : World Scientific
Page : 236 pages
File Size : 48,9 Mb
Release : 2016-02-29
Category : Business & Economics
ISBN : 9789814730785

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Recent Advances in Financial Engineering 2014 by Masaaki Kijima,Yukio Muromachi,Takashi Shibata Pdf

Since 2004, the Tokyo Metropolitan University (TMU) has been conducting workshops that serve as a forum for academic researchers and practitioners to exchange ideas and developments in different fields of finance. This book is based on papers presented at the 2014 workshop held in Tokyo, on 6–7 November, 2014. The chapters address state-of-the-art techniques in mathematical finance and financial engineering. The authors share ideas and information on new methods and up-to-date results of their research in these fields. This book is a must-read for researchers, practitioners, and graduate students in the fields of mathematical finance, quantitative finance and financial engineering. Contents: Moment Properties of Probability Distributions Used in Stochastic Financial Models (J Stoyanov)An Equilibrium Approach to Indifference Pricing with Model Uncertainty (M H A Davis and D Yoshikawa)Volume Imbalance and Market Making (Á Cartea, R. Donnelly and S Jaimungal)Optimal Short-Covering with Regime Switching (T K. Chung)Effects of Reversibility on Investment Timing and Quantity Under Asymmetric Information (X Cui and T. Shibata)Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis (K Kikuchi)Option Pricing with Ambiguous Correlation and Fast Mean-reverting Volatilities (M H Leung and H Y Wong)Callable Stock Loans (C C Siu, S C P Yam and W Zhou)Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes (K Yamazaki)A Second-order Monotone Modification of the Sharpe Ratio (M Zhitlukhin) Readership: Graduate students, researchers and practitioners of financial engineering and mathematical finance. Key Features:Contains cutting-edge research in financial engineeringServes as a bridge between academic researchers and practitionersKeywords:Financial Engineering;Mathematical Finance;Money & Banking;Risk Management;Real Option;Corporate Finance;Computational Finance

Author : Constantin Zopounidis,Michael Doumpos,Panos M. Pardalos
Publisher : Springer Science & Business Media
Page : 494 pages
File Size : 54,9 Mb
Release : 2010-07-25
Category : Business & Economics
ISBN : 9780387766829

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Handbook of Financial Engineering by Constantin Zopounidis,Michael Doumpos,Panos M. Pardalos Pdf

This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Author : Akihiko Takahashi,Yukio Muromachi,Hidetaka Nakaoka
Publisher : World Scientific
Page : 231 pages
File Size : 54,9 Mb
Release : 2012
Category : Business & Economics
ISBN : 9789814407328

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Recent Advances in Financial Engineering by Akihiko Takahashi,Yukio Muromachi,Hidetaka Nakaoka Pdf

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.

Author : Akihiko Takahashi,Yukio Muromachi,Hidetaka Nakaoka
Publisher : World Scientific
Page : 232 pages
File Size : 48,8 Mb
Release : 2012-05-21
Category : Mathematics
ISBN : 9789814407342

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Recent Advances in Financial Engineering 2011 by Akihiko Takahashi,Yukio Muromachi,Hidetaka Nakaoka Pdf

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. Contents:On the Representation of General Interest Rate Models as Square-Integrable Wiener Functionals (L P Hughston and F Mina)On Pricing Contingent Capital Notes (D B Madan)A Survey on Modeling and Analysis of Basis Spreads (M Fujii and A Takahashi)Conservative Delta Hedging Under Transaction Costs (M Fukasawa)The Theory of Optimal Investment in Information Security and Adjustment Costs: An Impulse Control Approach (M Goto and K Tatsumi)Strategic Investment with Three Asymmetric Firms (S Ko and T Shibata)An Empirical Analysis of Japanese Interest Rate Swap Spread (J Shimada, T Takahashi, T Miyakoshi, and Y Tsukuda)A Remark on Approximation of the Solutions to Partial Differential Equations in Finance (A Takahashi and T Yamada)Optimal Trading with Cointegrated Pairs of Stocks (Y Yamada and J A Primbs)Analytical Approximation of Pricing Average Options under the Heston Model (A Yamazaki) Readership: Graduate and postgraduate students of financial engineering and mathematical finance; academics and practitioners; quantitative researchers on financial markets. Keywords:Financial Engineering;Mathematical Finance;Money & Banking;Risk Management;Real Option;Corporate Finance;Computational FinanceKey Features:Wide coverage of the research themesMost up-to-date research resultsResearch straddling academia and industryAddresses state-of-the-art techniques in financial engineering

Author : Masaaki Kijima
Publisher : World Scientific
Page : 243 pages
File Size : 43,5 Mb
Release : 2009
Category : Mathematics
ISBN : 9789814273466

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Recent Advances in Financial Engineering by Masaaki Kijima Pdf

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. This 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.

Author : Robert Kosowski,Salih N. Neftci
Publisher : Academic Press
Page : 896 pages
File Size : 44,9 Mb
Release : 2014-11-26
Category : Business & Economics
ISBN : 9780123870070

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Principles of Financial Engineering by Robert Kosowski,Salih N. Neftci Pdf

Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics. Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act The solutions manual enhances the text by presenting additional cases and solutions to exercises