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...
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| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; Hackensack, N.J. :
World Scientific,
©2009.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xii, 230 pages) : illustrations (some color) |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789814273473 9814273473 1282443097 9781282443099 9786612443091 661244309X |
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| 505 | 0 | |a 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. | |
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| 588 | 0 | |a Print version record. | |
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| contents | 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. |
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| publisher | World Scientific, |
| record_format | marc |
| spelling | Daiwa International Workshop on Financial Engineering (2008 : Tokyo, Japan) Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / editors, Masaaki Kijima [and others]. Proceedings of the 2008 Daiwa International Workshop on Financial Engineering Daiwa International Workshop on Financial Engineering Singapore ; Hackensack, N.J. : World Scientific, ©2009. 1 online resource (xii, 230 pages) : illustrations (some color) text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references. 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. 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. Print version record. English. Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Financial engineering fast Conference papers and proceedings fast Kijima, Masaaki, 1957- https://id.oclc.org/worldcat/entity/E39PBJqVXMVqHxq6bFGcfhtYfq http://id.loc.gov/authorities/names/n89653963 World Scientific (Firm) http://id.loc.gov/authorities/names/no2001005546 has work: Recent advances in financial engineering (Text) https://id.oclc.org/worldcat/entity/E39PCGyv4t4mPdG7QkCD7tX9cK https://id.oclc.org/worldcat/ontology/hasWork 9814273465 9789814273466 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=305313 Volltext |
| spellingShingle | Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / 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. Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Financial engineering fast |
| title | Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / |
| title_alt | Proceedings of the 2008 Daiwa International Workshop on Financial Engineering Daiwa International Workshop on Financial Engineering |
| title_auth | Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / |
| title_exact_search | Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / |
| title_full | Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / editors, Masaaki Kijima [and others]. |
| title_fullStr | Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / editors, Masaaki Kijima [and others]. |
| title_full_unstemmed | Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / editors, Masaaki Kijima [and others]. |
| title_short | Recent advances in financial engineering : |
| title_sort | recent advances in financial engineering proceedings of the 2008 daiwa international workshop on financial engineering otemachi sankei plaza tokyo japan 4 5 august 2008 |
| title_sub | proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / |
| topic | Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Financial engineering fast |
| topic_facet | Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Investments & Securities General. Financial engineering Conference papers and proceedings |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=305313 |
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