Recent advances in financial engineering 2011 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...
| Corporate Authors: | , |
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| Other Authors: | , , |
| Format: | Electronic |
| Language: | English |
| Published: |
Singapore ; Hackensack, N.J. :
World Scientific Pub. Co.,
c2012.
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| Subjects: | |
| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://www.worldscientific.com/worldscibooks/10.1142/8491#t=toc |
Table of Contents:
- On the representation of general interest rate models as square integrable Wiener functionals / L. P. Hughston and F. Mina
- On pricing contingent capital notes / D. B. Madan
- A survey on modeling and analysis of basis spreads / M. Fujii and A. Takahashi
- Conservative delta hedging under transaction costs / M. Fukasawa
- The theory of optimal investment in information security and adjustment costs: an impulse control approach / M. Goto and K. Tatsumi
- Strategic investment with three asymmetric firms / S. Ko and T. Shibata
- An empirical analysis of Japanese interest rate swap spread / J. Shimada ... [et al.]
- A remark on approximation of the solutions to partial differential equations in finance / A. Takahashi and T. Yamada
- Optimal trading with cointegrated pairs of stocks / Y. Yamada and J. A. Primbs
- Analytical approximation of pricing average options under the Heston model / A. Yamazaki.