Recent Advances in Financial Engineering 2012:Proceedings of the International Workshop on Finance 2012

Edited by Akihiko Takahashi, Yukio Muromachi and Takashi Shibata ()

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

Abstract: Recent Advances in Financial Engineering 2012

Keywords: Financial Engineering; Mathematical Finance; Money & Banking; Risk Management; Real Option; Corporate Finance; Computational Finance (search for similar items in EconPapers)
Date: 2014
ISBN: 9789814571630
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https://www.worldscientific.com/worldscibooks/10.1142/9015 (text/html)
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Chapters in this book:

Ch 1 Forward Prices in Markets Driven by Continuous-time Autoregressive Processes , pp 1-24

Fred Espen Benth and Sara Ana Solanilla Blanco

Ch 2 A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective , pp 25-49

Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey and Alexander Herbertsson

Ch 3 A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues , pp 51-73

Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey and Alexander Herbertsson

Ch 4 On the Limit Behavior of Option Hedging Sets under Transaction Costs , pp 75-91

J Grépat

Ch 5 Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function , pp 93-116

Kensuke Ishitani and Takashi Kato

Ch 6 Optimal Investment Timing and Volume Decisions under Debt Borrowing Constraints , pp 117-131

Takashi Shibata and Michi Nishihara

Ch 7 Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation , pp 133-176

Chun Ming Tam

Ch 8 Mean-Variance Pre-Commitment Policies Revisited Via a Mean-Field Technique , pp 177-198

A. Bensoussan, K. C. Wong and S. C. P. Yam

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