Recent advances in financial engineering 2012 :bproceedings of the International Workshop on Finance2012, the University of Tokyo, Japan, 30-31 October 2012 / ceditors Akihiko Takahashi, The University of Tokyo,Japan, Yukio Muromachi, Tokyo Metropolitan University,Japan,Takashi Shibata,Tokyo Metropolitan University,Japan
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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| Format: | Electronic Book |
| Language: | English |
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New Jersey
World Scientific
[2014]
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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 ... [et al.]
- A bottom-up dynamic model of portfolio credit risk-- Part II: Common-shock interpretation, calibration and hedging issues / T. R. Bielecki ... [et al.]
- 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