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Recent Advances in Financial Engineering

Editat de Yukio Muromachi, Hidetaka Nakaoka, Akihiko Takahashi
en Limba Engleză Hardback – 20 mai 2012
Presents 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.
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Specificații

ISBN-13: 9789814407328
ISBN-10: 9814407321
Pagini: 220
Dimensiuni: 157 x 229 x 13 mm
Greutate: 0.5 kg
Ediția:2011
Editura: World Scientific Publishing Company

Cuprins

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).