Recent Advances in Financial Engineering 2010
Editor
- Masaaki Kijima(Tokyo Metropolitan University, Japan)Chiaki Hara(Kyoto University, Japan)Yukio Muromachi(Tokyo Metropolitan University, Japan)Hidetaka Nakaoka(Tokyo Metropolitan University, Japan)Katsumasa Nishide(Yokohama National University, Japan)
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).Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), 2011. "Recent Advances in Financial Engineering 2010," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8236, August.
Handle: RePEc:wsi:wsbook:8236Download full text from publisher
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Book Chapters
The following chapters of this book are listed in IDEAS- Ernst Eberlein & Dilip B. Madan, 2011. "The Distribution of Returns at Longer Horizons," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 1, pages 1-18, World Scientific Publishing Co. Pte. Ltd..
- Hiroaki Hata & Arturo Kohatsu-Higa, 2011. "Two Examples of an Insider with Medium/Long Term Effects on the Underlying," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 2, pages 19-42, World Scientific Publishing Co. Pte. Ltd..
- Jean-Paul Laurent, 2011. "A Note on the Risk Management of CDOs," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 3, pages 43-67, World Scientific Publishing Co. Pte. Ltd..
- Emmanuel Denis, 2011. "Robust No Arbitrage Condition for Continuous-time Models with Transaction Costs," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 4, pages 69-82, World Scientific Publishing Co. Pte. Ltd..
- Masaaki Fujii & Akihiko Takahashi, 2011. "Modeling of Interest-Rate Term Structures under Collateralization and its Implications," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 5, pages 83-103, World Scientific Publishing Co. Pte. Ltd..
- Shoji Kamimura, 2011. "On the State Variables for Optimal Portfolio Strategies in the Japanese Market," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 6, pages 105-117, World Scientific Publishing Co. Pte. Ltd..
- Satoshi Kawanishi, 2011. "The Diversity of Information Acquisition Strategies in a Noisy REE Model with a Common Signal and Independent Signals," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 7, pages 119-150, World Scientific Publishing Co. Pte. Ltd..
- Chi Chung Siu, 2011. "Option Pricing with a Regime-Switching Lévy Model," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 8, pages 151-179, World Scientific Publishing Co. Pte. Ltd..
- Yoshihiko Sugihara & Nobuyuki Oda, 2011. "An Empirical Analysis of Equity Market Expectations in the Financial Turmoil Using Implied Moments and Jump Diffusion Processes," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 9, pages 181-213, World Scientific Publishing Co. Pte. Ltd..
- Naoya Takezawa, 2011. "Investor Characteristics and Portfolio Value," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 10, pages 215-224, World Scientific Publishing Co. Pte. Ltd..
- Yuji Yamada, 2011. "Optimal Hedging with Additive Models," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 11, pages 225-245, World Scientific Publishing Co. Pte. Ltd..
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Keywords
Operations Research; Financial Engineering; Management; Mathematical Modeling; Credit Risk; Real Options; Optimal Investment; Heterogeneous Beliefs;
All these keywords.Statistics
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