Recent advances in financial engineering proceedings of the KIER-TMU International Workshop on Financial Engineering 2010 : Akihabara Daibiru, Tokyo, 2 - 3 August 2010 /
This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo. It was for an exchange of new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive yea...
| Corporate Authors: | , |
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| Other Authors: | |
| Format: | Electronic |
| Language: | English |
| Published: |
Singapore ; Hackensack, N.J. :
World Scientific Pub. Co.,
c2011.
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| Subjects: | |
| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://www.worldscientific.com/worldscibooks/10.1142/8236#t=toc |
Table of Contents:
- The distribution of returns at longer horizons / E. Eberlein and D. B. Madan
- Two examples of an insider with medium/long term effects on the underlying / H. Hata and A. Kohatsu-Higa
- A note on the risk management of CDOs / J.-P. Laurent
- Robust no arbitrage condition for continuous-time models with transaction costs / E. Denis
- Modeling of interest-rate term structures under collateralization and its implications / M. Fujii and A. Takahashi
- On the state variables for optimal portfolio strategies in the Japanese market / S. Kamimura
- The diversity of information acquisition strategies in a noisy REE model with a common signal and independent signals / S. Kawanishi
- Option pricing with a regime-switching Levy model / C. C. Siu
- An empirical analysis of equity market expectations in the financial turmoil using implied moments and jump diffusion processes / Y. Sugihara and N. Oda
- Investor characteristics and portfolio value / N. Takezawa
- Optimal hedging with additive models / Y. Yamada.