Recent Advances in Financial Engineering 2011
Editor
- Akihiko Takahashi(The University of Tokyo, Japan)Yukio Muromachi(Tokyo Metropolitan University, Japan)Hidetaka Nakaoka(Tokyo Metropolitan University, Japan)
Abstract
This book is the Proceedings of the International Workshop on Finance 2011, held in Kyoto in the summer of 2011 with the aim of exchanging new ideas in financial engineering among researchers from various countries from both academia and industry. The workshop was held as a successor to the Daiwa International Workshop (2004–2008), and the KIER-TMU International Workshop (2009–2010). This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics, the University of Tokyo, and Graduate School of Social Sciences, Tokyo Metropolitan University — and co-organized by Life Risk Research Center, Doshisha University.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), 2012. "Recent Advances in Financial Engineering 2011," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8491, December.
Handle: RePEc:wsi:wsbook:8491
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Citations
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Cited by:
- Jiatu Cai & Masaaki Fukasawa, 2016. "Asymptotic replication with modified volatility under small transaction costs," Finance and Stochastics, Springer, vol. 20(2), pages 381-431, April.
Book Chapters
The following chapters of this book are listed in IDEAS- Dilip B. Madan, 2012. "On Pricing Contingent Capital Notes," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 2, pages 21-42, World Scientific Publishing Co. Pte. Ltd..
- Masaaki Fujii & Akihiko Takahashi, 2012. "A Survey on Modeling and Analysis of Basis Spreads," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 3, pages 43-53, World Scientific Publishing Co. Pte. Ltd..
- Masaaki Fukasawa, 2012. "Conservative Delta Hedging under Transaction Costs," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 4, pages 55-72, World Scientific Publishing Co. Pte. Ltd..
- Makoto Goto & Ken-ichi Tatsumi, 2012. "The Theory of Optimal Investment in Information Security and Adjustment Costs: An Impulse Control Approach," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 5, pages 73-96, World Scientific Publishing Co. Pte. Ltd..
- Sunyoung Ko & Takashi Shibata, 2012. "Strategic Investment with Three Asymmetric Firms," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 6, pages 97-110, World Scientific Publishing Co. Pte. Ltd..
- Junji Shimada & Toyoharu Takahashi & Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda, 2012. "An Empirical Analysis of Japanese Interest Rate Swap Spread," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 7, pages 111-131, World Scientific Publishing Co. Pte. Ltd..
- Akihiko Takahashi & Toshihiro Yamada, 2012. "A Remark on Approximation of the Solutions to Partial Differential Equations in Finance," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 8, pages 133-181, World Scientific Publishing Co. Pte. Ltd..
- Yuji Yamada & James A. Primbs, 2012. "Optimal Trading with Cointegrated Pairs of Stocks," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 9, pages 183-202, World Scientific Publishing Co. Pte. Ltd..
- Akira Yamazaki, 2012. "Analytical Approximation of Pricing Average Options under the Heston Model," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Hidetaka Nakaoka (ed.), Recent Advances In Financial Engineering 2011, chapter 10, pages 203-220, World Scientific Publishing Co. Pte. Ltd..
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Keywords
Financial Engineering; Mathematical Finance; Money & Banking; Risk Management; Real Option; Corporate Finance; Computational Finance;All these keywords.
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