Recent Advances in Financial Engineering 2012

Proceedings of the International Workshop on Finance 2012

Business & Finance, Finance & Investing, Corporate Finance, Finance
Cover of the book Recent Advances in Financial Engineering 2012 by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata, World Scientific Publishing Company
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Akihiko Takahashi, Yukio Muromachi, Takashi Shibata ISBN: 9789814571654
Publisher: World Scientific Publishing Company Publication: February 24, 2014
Imprint: WSPC Language: English
Author: Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
ISBN: 9789814571654
Publisher: World Scientific Publishing Company
Publication: February 24, 2014
Imprint: WSPC
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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:

Readership: Graduate and postgraduate students of financial engineering and mathematical finance; academics and practitioners; quantitative researchers on financial markets.

More books from World Scientific Publishing Company

Cover of the book Trapped Charged Particles by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Women's Cancers by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book International Seminars on Nuclear War and Planetary Emergencies 46th Session by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Creativity Fostering Teacher Behavior by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Generalized Optomechanics and Its Applications by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Inflammation by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Statistical Tests of Nonparametric Hypotheses by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Engineering in Perspective by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Singapore Teachers by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Angel Investing in China by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Dark Matter and Cosmic Web Story by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Waves and Rays in Seismology by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book Perspectives for Geothermal Energy in Europe by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book The South China Sea Disputes by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
Cover of the book The China Renaissance by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy