Recent Advances in Financial Engineering

Edited by Masaaki Kijima, Masahiko Egami, Kei-ichi Tanaka and Yukio Muromachi

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

Abstract: This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.

Keywords: Financial Engineering; Mathematical Finance; Real Options; Credit Risk; Option Pricing; Transaction Cost; Market Microstructure (search for similar items in EconPapers)
Date: 2009
ISBN: 9789814273466
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https://www.worldscientific.com/worldscibooks/10.1142/7301 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 Mean Square Error for the Leland–Lott Hedging Strategy , pp 1-25

Moussa Gamys and Yuri Kabanov

Ch 2 Variance Reduction for MC/QMC Methods to Evaluate Option Prices , pp 27-48

Jean-Pierre Fouque, Chuan-Hsiang Han and Yongzeng Lai

Ch 3 Estimation of the Local Volatility of Discount Bonds Using Market Quotes for Coupon-Bond Options , pp 49-69

Hajime Fujiwara, Masaaki Kijima and Katsumasa Nishide

Ch 4 Real Options in a Duopoly Market with General Volatility Structure , pp 71-89

Masaaki Kijima and Takashi Shibata

Ch 5 Arbitrage Pricing Under Transaction Costs: Continuous Time , pp 91-106

Emmanuel Denis

Ch 6 Leland's Approximations for Concave Pay-off Functions , pp 107-117

Emmanuel Denis

Ch 7 Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures , pp 119-133

Yoshio Miyahara and Naruhiko Moriwaki

Ch 8 The Impact of Momentum Trading on the Market Price and Trades , pp 135-159

Katsumasa Nishide

Ch 9 Investment Game with Debt Financing , pp 161-187

Michi Nishihara and Takashi Shibata

Ch 10 The Valuation of Callable Financial Commodities with Two Stopping Boundaries , pp 189-200

Katsushige Sawaki, Atsuo Suzuki and Kyoko Yagi

Ch 11 Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity , pp 201-218

Masato Ubukata and Kosuke Oya

Ch 12 Quanto Pre-washing for Jump Diffusion Models , pp 219-230

Hoi Ying Wong and Ka Yung Lau

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