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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Bibliographic Details
Call Number:Libro Electrónico
Corporate Author: International Workshop on Finance Tokyo, Japan
Other Authors: Takahashi, Akihiko, Muromachi, Yukio, Shibata, Takashi (Associate professor)
Format: Electronic Conference Proceeding eBook
Language:Inglés
Published: New Jersey : World Scientific, [2014]
Subjects:
Financial engineering > Congresses.
Ingénierie financière > Congrès.
BUSINESS & ECONOMICS > Finance.
Financial engineering
Conference papers and proceedings
Online Access:Texto completo
Table of 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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