Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 /:
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 In...
Gespeichert in:
| Körperschaft: | |
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| Weitere Verfasser: | , , |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hackensack, N.J. :
World Scientific,
2012.
|
| Schriftenreihe: | Recent advances in financial engineering ;
2011. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (ix, 220 pages) : illustrations (some color). |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789814407335 981440733X 1281603716 9781281603715 9786613784407 6613784400 |
Internformat
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| 245 | 1 | 0 | |a Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / |c [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka. |
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| 490 | 1 | |a Recent advances in financial engineering ; |v 2011 | |
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a InternationalWorkshop on Finance 2011; Preface; Program; Contents; On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals L. P. Hughston and F. Mina; References; On Pricing Contingent Capital Notes D. B. Madan; 1. Introduction; 2. The Foreign Equity Option Surface; 3. The FX Option Surface; 4. Quantoing CSGN.VX from CHF to USD; 4.1 General principles for quantoing option surfaces; 4.2 The joint law employed; 4.3 Quantoing CSGN.VX into USD; 5. ADR the Quantoed Surface; 5.1 General procedure to ADR a surface; 5.2 CSGN.VX ADR into USD | |
| 505 | 8 | |a 6. The Compound Spread Option Model for the Law of the Balance Sheet6.1 Equity options as compound spread options; 6.2 Results of calibrating compound spread option model on the ADR surface; 7. Calibrate the Conic Stress Level; 8. Simulating Assets, Liabilities, Stock Prices and Capital Ratios; 9. Pricing the CoCo; 10. Conclusion; References; A Survey on Modeling and Analysis of Basis Spreads M. Fujii and A. Takahashi; 1. Introduction; 2. Review of Econometric Analysis on the Spread Dynamics; 3. Review of Existing Pricing Models in the Presence of Spreads; 4. Summary and Implication | |
| 505 | 8 | |a 3.1.2 Adjustment costs3.1.3 Outline of our problem stated; 3.1.4 Presumptions reminded; 3.2 Dynamic control considerations; 3.2.1 Stochastic impulse control problem; 3.2.2 Optimal (s, S ) inventory policy; 3.2.3 Adjustment costs and optimal information security investment; 3.3 Formulation and solution; 3.3.1 Assumptions; 3.3.2 Problem to be solved; 3.3.3 Interpretation; 4. The Optimal Solution: Numerical Illustrations; 4.1 Derivation of optimal solution; 4.2 The effect of individual parameter; 4.2.1 The effects of volatility, drift, vulnerability and efficiency | |
| 505 | 8 | |a 4.2.2 The effect of adjustment costs4.2.3 The effect of interest rate; 4.3 The effects of important variables and considerations; 4.3.1 The effect of multiple investments; 4.3.2 Considerations on investment interval and frequency; 5. Concluding Remarks; 5.1 Summary; 5.2 Remaining problems; 5.2.1 Interpretation of the model; 5.2.2 Much simpler investment rule; 5.2.3 More Realistic formulation of the threat; References; Strategic Investment with Three Asymmetric Firms S. Ko and T. Shibata; 1. Introduction; 2. Model; 2.1 Setup; 2.2 Value functions in the triopoly market | |
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| contents | InternationalWorkshop on Finance 2011; Preface; Program; Contents; On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals L. P. Hughston and F. Mina; References; On Pricing Contingent Capital Notes D. B. Madan; 1. Introduction; 2. The Foreign Equity Option Surface; 3. The FX Option Surface; 4. Quantoing CSGN.VX from CHF to USD; 4.1 General principles for quantoing option surfaces; 4.2 The joint law employed; 4.3 Quantoing CSGN.VX into USD; 5. ADR the Quantoed Surface; 5.1 General procedure to ADR a surface; 5.2 CSGN.VX ADR into USD 6. The Compound Spread Option Model for the Law of the Balance Sheet6.1 Equity options as compound spread options; 6.2 Results of calibrating compound spread option model on the ADR surface; 7. Calibrate the Conic Stress Level; 8. Simulating Assets, Liabilities, Stock Prices and Capital Ratios; 9. Pricing the CoCo; 10. Conclusion; References; A Survey on Modeling and Analysis of Basis Spreads M. Fujii and A. Takahashi; 1. Introduction; 2. Review of Econometric Analysis on the Spread Dynamics; 3. Review of Existing Pricing Models in the Presence of Spreads; 4. Summary and Implication 3.1.2 Adjustment costs3.1.3 Outline of our problem stated; 3.1.4 Presumptions reminded; 3.2 Dynamic control considerations; 3.2.1 Stochastic impulse control problem; 3.2.2 Optimal (s, S ) inventory policy; 3.2.3 Adjustment costs and optimal information security investment; 3.3 Formulation and solution; 3.3.1 Assumptions; 3.3.2 Problem to be solved; 3.3.3 Interpretation; 4. The Optimal Solution: Numerical Illustrations; 4.1 Derivation of optimal solution; 4.2 The effect of individual parameter; 4.2.1 The effects of volatility, drift, vulnerability and efficiency 4.2.2 The effect of adjustment costs4.2.3 The effect of interest rate; 4.3 The effects of important variables and considerations; 4.3.1 The effect of multiple investments; 4.3.2 Considerations on investment interval and frequency; 5. Concluding Remarks; 5.1 Summary; 5.2 Remaining problems; 5.2.1 Interpretation of the model; 5.2.2 Much simpler investment rule; 5.2.3 More Realistic formulation of the threat; References; Strategic Investment with Three Asymmetric Firms S. Ko and T. Shibata; 1. Introduction; 2. Model; 2.1 Setup; 2.2 Value functions in the triopoly market |
| ctrlnum | (OCoLC)808340718 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.60151 |
| dewey-sort | 3332.60151 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic Conference Proceeding eBook |
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| indexdate | 2024-11-26T14:49:06Z |
| institution | BVB |
| isbn | 9789814407335 981440733X 1281603716 9781281603715 9786613784407 6613784400 |
| language | English |
| oclc_num | 808340718 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (ix, 220 pages) : illustrations (some color). |
| psigel | ZDB-4-EBU |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | World Scientific, |
| record_format | marc |
| series | Recent advances in financial engineering ; |
| series2 | Recent advances in financial engineering ; |
| spelling | International Workshop on Finance (August 2011 : Kyoto, Japan) Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka. Hackensack, N.J. : World Scientific, 2012. 1 online resource (ix, 220 pages) : illustrations (some color). text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 Recent advances in financial engineering ; 2011 Includes bibliographical references. InternationalWorkshop on Finance 2011; Preface; Program; Contents; On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals L. P. Hughston and F. Mina; References; On Pricing Contingent Capital Notes D. B. Madan; 1. Introduction; 2. The Foreign Equity Option Surface; 3. The FX Option Surface; 4. Quantoing CSGN.VX from CHF to USD; 4.1 General principles for quantoing option surfaces; 4.2 The joint law employed; 4.3 Quantoing CSGN.VX into USD; 5. ADR the Quantoed Surface; 5.1 General procedure to ADR a surface; 5.2 CSGN.VX ADR into USD 6. The Compound Spread Option Model for the Law of the Balance Sheet6.1 Equity options as compound spread options; 6.2 Results of calibrating compound spread option model on the ADR surface; 7. Calibrate the Conic Stress Level; 8. Simulating Assets, Liabilities, Stock Prices and Capital Ratios; 9. Pricing the CoCo; 10. Conclusion; References; A Survey on Modeling and Analysis of Basis Spreads M. Fujii and A. Takahashi; 1. Introduction; 2. Review of Econometric Analysis on the Spread Dynamics; 3. Review of Existing Pricing Models in the Presence of Spreads; 4. Summary and Implication 3.1.2 Adjustment costs3.1.3 Outline of our problem stated; 3.1.4 Presumptions reminded; 3.2 Dynamic control considerations; 3.2.1 Stochastic impulse control problem; 3.2.2 Optimal (s, S ) inventory policy; 3.2.3 Adjustment costs and optimal information security investment; 3.3 Formulation and solution; 3.3.1 Assumptions; 3.3.2 Problem to be solved; 3.3.3 Interpretation; 4. The Optimal Solution: Numerical Illustrations; 4.1 Derivation of optimal solution; 4.2 The effect of individual parameter; 4.2.1 The effects of volatility, drift, vulnerability and efficiency 4.2.2 The effect of adjustment costs4.2.3 The effect of interest rate; 4.3 The effects of important variables and considerations; 4.3.1 The effect of multiple investments; 4.3.2 Considerations on investment interval and frequency; 5. Concluding Remarks; 5.1 Summary; 5.2 Remaining problems; 5.2.1 Interpretation of the model; 5.2.2 Much simpler investment rule; 5.2.3 More Realistic formulation of the threat; References; Strategic Investment with Three Asymmetric Firms S. Ko and T. Shibata; 1. Introduction; 2. Model; 2.1 Setup; 2.2 Value functions in the triopoly market 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. English. Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Financial engineering fast Congress https://id.nlm.nih.gov/mesh/D016423 proceedings (reports) aat Conference papers and proceedings fast Conference papers and proceedings. lcgft http://id.loc.gov/authorities/genreForms/gf2014026068 Actes de congrès. rvmgf Takahashi, Akihiko. Muromachi, Yukio. Nakaoka, Hidetaka. 981-4407-32-1 Recent advances in financial engineering ; 2011. FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=479902 Volltext |
| spellingShingle | Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / Recent advances in financial engineering ; InternationalWorkshop on Finance 2011; Preface; Program; Contents; On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals L. P. Hughston and F. Mina; References; On Pricing Contingent Capital Notes D. B. Madan; 1. Introduction; 2. The Foreign Equity Option Surface; 3. The FX Option Surface; 4. Quantoing CSGN.VX from CHF to USD; 4.1 General principles for quantoing option surfaces; 4.2 The joint law employed; 4.3 Quantoing CSGN.VX into USD; 5. ADR the Quantoed Surface; 5.1 General procedure to ADR a surface; 5.2 CSGN.VX ADR into USD 6. The Compound Spread Option Model for the Law of the Balance Sheet6.1 Equity options as compound spread options; 6.2 Results of calibrating compound spread option model on the ADR surface; 7. Calibrate the Conic Stress Level; 8. Simulating Assets, Liabilities, Stock Prices and Capital Ratios; 9. Pricing the CoCo; 10. Conclusion; References; A Survey on Modeling and Analysis of Basis Spreads M. Fujii and A. Takahashi; 1. Introduction; 2. Review of Econometric Analysis on the Spread Dynamics; 3. Review of Existing Pricing Models in the Presence of Spreads; 4. Summary and Implication 3.1.2 Adjustment costs3.1.3 Outline of our problem stated; 3.1.4 Presumptions reminded; 3.2 Dynamic control considerations; 3.2.1 Stochastic impulse control problem; 3.2.2 Optimal (s, S ) inventory policy; 3.2.3 Adjustment costs and optimal information security investment; 3.3 Formulation and solution; 3.3.1 Assumptions; 3.3.2 Problem to be solved; 3.3.3 Interpretation; 4. The Optimal Solution: Numerical Illustrations; 4.1 Derivation of optimal solution; 4.2 The effect of individual parameter; 4.2.1 The effects of volatility, drift, vulnerability and efficiency 4.2.2 The effect of adjustment costs4.2.3 The effect of interest rate; 4.3 The effects of important variables and considerations; 4.3.1 The effect of multiple investments; 4.3.2 Considerations on investment interval and frequency; 5. Concluding Remarks; 5.1 Summary; 5.2 Remaining problems; 5.2.1 Interpretation of the model; 5.2.2 Much simpler investment rule; 5.2.3 More Realistic formulation of the threat; References; Strategic Investment with Three Asymmetric Firms S. Ko and T. Shibata; 1. Introduction; 2. Model; 2.1 Setup; 2.2 Value functions in the triopoly market Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Financial engineering fast |
| subject_GND | https://id.nlm.nih.gov/mesh/D016423 http://id.loc.gov/authorities/genreForms/gf2014026068 |
| title | Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / |
| title_auth | Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / |
| title_exact_search | Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / |
| title_full | Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka. |
| title_fullStr | Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka. |
| title_full_unstemmed | Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka. |
| title_short | Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 / |
| title_sort | proceedings of the international workshop on finance 2011 doshisha university kyoto japan 3 4 august 2011 |
| 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 Congress proceedings (reports) Conference papers and proceedings Conference papers and proceedings. Actes de congrès. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=479902 |
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