Recent Advances in Financial Engineering 2010

Edited by Masaaki Kijima, Chiaki Hara, Yukio Muromachi, Hidetaka Nakaoka and Katsumasa Nishide

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

Abstract: This book 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. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU).

Keywords: Operations Research; Financial Engineering; Management; Mathematical Modeling; Credit Risk; Real Options; Optimal Investment; Heterogeneous Beliefs (search for similar items in EconPapers)
Date: 2011
ISBN: 9789814366021
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https://www.worldscientific.com/worldscibooks/10.1142/8236 (text/html)
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Chapters in this book:

Ch 1 The Distribution of Returns at Longer Horizons , pp 1-18

Ernst Eberlein and Dilip B. Madan

Ch 2 Two Examples of an Insider with Medium/Long Term Effects on the Underlying , pp 19-42

Hiroaki Hata and Arturo Kohatsu-Higa

Ch 3 A Note on the Risk Management of CDOs , pp 43-67

Jean-Paul Laurent

Ch 4 Robust No Arbitrage Condition for Continuous-time Models with Transaction Costs , pp 69-82

Emmanuel Denis

Ch 5 Modeling of Interest-Rate Term Structures under Collateralization and its Implications , pp 83-103

Masaaki Fujii and Akihiko Takahashi

Ch 6 On the State Variables for Optimal Portfolio Strategies in the Japanese Market , pp 105-117

Shoji Kamimura

Ch 7 The Diversity of Information Acquisition Strategies in a Noisy REE Model with a Common Signal and Independent Signals , pp 119-150

Satoshi Kawanishi

Ch 8 Option Pricing with a Regime-Switching Lévy Model , pp 151-179

Chi Chung Siu

Ch 9 An Empirical Analysis of Equity Market Expectations in the Financial Turmoil Using Implied Moments and Jump Diffusion Processes , pp 181-213

Yoshihiko Sugihara and Nobuyuki Oda

Ch 10 Investor Characteristics and Portfolio Value , pp 215-224

Naoya Takezawa

Ch 11 Optimal Hedging with Additive Models , pp 225-245

Yuji Yamada

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