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Recent Advances in Financial Engineering 2011

Edited by Akihiko Takahashi, Yukio Muromachi and Hidetaka Nakaoka

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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 International Workshop (2004–2008), and the KIER-TMU International Workshop (2009–2010). This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics, the University of Tokyo, and Graduate School of Social Sciences, Tokyo Metropolitan University — and co-organized by Life Risk Research Center, Doshisha University.

Keywords: Financial Engineering; Mathematical Finance; Money & Banking; Risk Management; Real Option; Corporate Finance; Computational Finance (search for similar items in EconPapers)
Date: 2012
ISBN: 9789814407328
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.worldscientific.com/worldscibooks/10.1142/8491 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 2 On Pricing Contingent Capital Notes , pp 21-42 Downloads
Dilip B. Madan
Ch 3 A Survey on Modeling and Analysis of Basis Spreads , pp 43-53 Downloads
Masaaki Fujii and Akihiko Takahashi
Ch 4 Conservative Delta Hedging under Transaction Costs , pp 55-72 Downloads
Masaaki Fukasawa
Ch 5 The Theory of Optimal Investment in Information Security and Adjustment Costs: An Impulse Control Approach , pp 73-96 Downloads
Makoto Goto and Ken-ichi Tatsumi
Ch 6 Strategic Investment with Three Asymmetric Firms , pp 97-110 Downloads
Sunyoung Ko and Takashi Shibata
Ch 7 An Empirical Analysis of Japanese Interest Rate Swap Spread , pp 111-131 Downloads
Junji Shimada, Toyoharu Takahashi, Tatsuyoshi Miyakoshi and Yoshihiko Tsukuda
Ch 8 A Remark on Approximation of the Solutions to Partial Differential Equations in Finance , pp 133-181 Downloads
Akihiko Takahashi and Toshihiro Yamada
Ch 9 Optimal Trading with Cointegrated Pairs of Stocks , pp 183-202 Downloads
Yuji Yamada and James A. Primbs
Ch 10 Analytical Approximation of Pricing Average Options under the Heston Model , pp 203-220 Downloads
Akira Yamazaki

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