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2010 recent advances in financial engineering : proceedings of the KIER-TMU International Workshop on Financial Engineering, 2010 : Akihabara Daibiru, Tokyo, 2-3 August, 2010 /
Contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries.
| Clasificación: | Libro Electrónico |
|---|---|
| Autores Corporativos: | , , |
| Otros Autores: | |
| Formato: | Electrónico Congresos, conferencias eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; Hackensack, N.J. :
World Scientific,
2011.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.