Recent advances in financial engineering 2012 :: proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 /
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...
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| Weitere Verfasser: | , , |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey :
World Scientific,
[2014]
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814571647 9814571644 |
Internformat
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| 505 | 0 | |a Forward prices in markets driven by continuous-time autoregressive processes / F.E. Benth and S.A.S. Blanco -- A bottom-up dynamic model of portfolio credit risk. Part I: Markov copula perspective / T.R. Bielecki [and others] -- A bottom-up dynamic model of portfolio credit risk. Part II: Common-shock interpretation, calibration and hedging issues / T.R. Bielecki [and others] -- On the limit behavior of option hedging sets under transaction costs / J. Grepat -- 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. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Financial engineering |v Congresses. | |
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| 700 | 1 | |a Takahashi, Akihiko. | |
| 700 | 1 | |a Muromachi, Yukio. | |
| 700 | 1 | |a Shibata, Takashi |c (Associate professor) | |
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| contents | Forward prices in markets driven by continuous-time autoregressive processes / F.E. Benth and S.A.S. Blanco -- A bottom-up dynamic model of portfolio credit risk. Part I: Markov copula perspective / T.R. Bielecki [and others] -- A bottom-up dynamic model of portfolio credit risk. Part II: Common-shock interpretation, calibration and hedging issues / T.R. Bielecki [and others] -- On the limit behavior of option hedging sets under transaction costs / J. Grepat -- 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. |
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| spelling | International Workshop on Finance (2012 : Tokyo, Japan) Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / editors Akihiko Takahashi, the University of Tokyo, Japan, Yukio Muromachi, Tokyo Metropolitan University, Japan, Takashi Shibata, Tokyo Metropolitan University, Japan. New Jersey : World Scientific, [2014] 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references and index. Print version record. Forward prices in markets driven by continuous-time autoregressive processes / F.E. Benth and S.A.S. Blanco -- A bottom-up dynamic model of portfolio credit risk. Part I: Markov copula perspective / T.R. Bielecki [and others] -- A bottom-up dynamic model of portfolio credit risk. Part II: Common-shock interpretation, calibration and hedging issues / T.R. Bielecki [and others] -- On the limit behavior of option hedging sets under transaction costs / J. Grepat -- 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. 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. Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Finance. bisacsh Financial engineering fast Conference papers and proceedings fast Takahashi, Akihiko. Muromachi, Yukio. Shibata, Takashi (Associate professor) has work: Recent advances in financial engineering 2012 (Text) https://id.oclc.org/worldcat/entity/E39PCFYG3p9vDdRH6X8jrfWjvd https://id.oclc.org/worldcat/ontology/hasWork Print version: International Workshop on Finance (2012 : Tokyo, Japan). Recent advances in financial engineering 2012 9789814571630 (DLC) 2013048375 (OCoLC)861675967 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=752604 Volltext |
| spellingShingle | Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / Forward prices in markets driven by continuous-time autoregressive processes / F.E. Benth and S.A.S. Blanco -- A bottom-up dynamic model of portfolio credit risk. Part I: Markov copula perspective / T.R. Bielecki [and others] -- A bottom-up dynamic model of portfolio credit risk. Part II: Common-shock interpretation, calibration and hedging issues / T.R. Bielecki [and others] -- On the limit behavior of option hedging sets under transaction costs / J. Grepat -- 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. Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Finance. bisacsh Financial engineering fast |
| title | Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / |
| title_auth | Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / |
| title_exact_search | Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / |
| title_full | Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / editors Akihiko Takahashi, the University of Tokyo, Japan, Yukio Muromachi, Tokyo Metropolitan University, Japan, Takashi Shibata, Tokyo Metropolitan University, Japan. |
| title_fullStr | Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / editors Akihiko Takahashi, the University of Tokyo, Japan, Yukio Muromachi, Tokyo Metropolitan University, Japan, Takashi Shibata, Tokyo Metropolitan University, Japan. |
| title_full_unstemmed | Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / editors Akihiko Takahashi, the University of Tokyo, Japan, Yukio Muromachi, Tokyo Metropolitan University, Japan, Takashi Shibata, Tokyo Metropolitan University, Japan. |
| title_short | Recent advances in financial engineering 2012 : |
| title_sort | recent advances in financial engineering 2012 proceedings of the international workshop on finance 2012 the university of tokyo japan 30 31 october 2012 |
| title_sub | proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012 / |
| topic | Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Finance. bisacsh Financial engineering fast |
| topic_facet | Financial engineering Congresses. Ingénierie financière Congrès. BUSINESS & ECONOMICS Finance. Financial engineering Conference papers and proceedings |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=752604 |
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