Recent Advances in Financial Engineering 2014:Proceedings of the TMU Finance Workshop 2014

Edited by Masaaki Kijima, Yukio Muromachi and Takashi Shibata ()

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

Abstract: Since 2004, the Tokyo Metropolitan University (TMU) has been conducting workshops that serve as a forum for academic researchers and practitioners to exchange ideas and developments in different fields of finance. This book is based on papers presented at the 2014 workshop held in Tokyo, on 6–7 November, 2014. The chapters address state-of-the-art techniques in mathematical finance and financial engineering. The authors share ideas and information on new methods and up-to-date results of their research in these fields. This book is a must-read for researchers, practitioners, and graduate students in the fields of mathematical finance, quantitative finance and financial engineering.

Keywords: Financial Engineering; Mathematical Finance; Money & Banking; Risk Management; Real Option; Corporate Finance; Computational Finance (search for similar items in EconPapers)
Date: 2016
ISBN: 9789814730761
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Citations: View citations in EconPapers (1)

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Chapters in this book:

Ch 1 Moment Properties of Probability Distributions Used in Stochastic Financial Models , pp 1-27

Jordan Stoyanov

Ch 2 An Equilibrium Approach to Indifference Pricing with Model Uncertainty* , pp 29-56

Mark H.A. Davis and Daisuke Yoshikawa

Ch 3 Volume Imbalance and Market Making* , pp 57-73

Álvaro Cartea, Ryan Donnelly and Sebastian Jaimungal

Ch 4 Optimal Short-Covering with Regime Switching* , pp 75-93

Tsz-Kin Chung

Ch 5 Effects of Reversibility on Investment Timing and Quantity Under Asymmetric Information , pp 95-106

Xue Cui and Takashi Shibata

Ch 6 Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis* , pp 107-131

Kentaro Kikuchi

Ch 7 Option Pricing with Ambiguous Correlation and Fast Mean-reverting Volatilities* , pp 133-159

Man Hau Leung and Hoi Ying Wong

Ch 8 Callable Stock Loans , pp 161-197

Chi Chung Siu, Sheung Chi Phillip Yam and Wei Zhou

Ch 9 Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes* , pp 199-215

Kazutoshi Yamazaki

Ch 10 A Second-order Monotone Modification of the Sharpe Ratio , pp 217-226

Mikhail Zhitlukhin

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