04246nam 2200697Ia 450 991096506960332120251117083459.097866124430919781282443099128244309797898142734739814273473(CKB)2550000000000481(EBL)477174(OCoLC)613344992(SSID)ssj0000342189(PQKBManifestationID)11255256(PQKBTitleCode)TC0000342189(PQKBWorkID)10285207(PQKB)11465253(MiAaPQ)EBC477174(WSP)00000483 (Au-PeEL)EBL477174(CaPaEBR)ebr10361590(CaONFJC)MIL244309(Perlego)848385(EXLCZ)99255000000000048120090126d2009 uy 0engur|n|---|||||txtccrRecent advances in financial engineering proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 /editors, Masaaki Kijima ... [et al.]1st ed.Singapore ;Hackensack, NJ World Scientificc20091 online resource (243 p.)"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."9789814273466 9814273465 Includes bibliographical references.Preface; Program; CONTENTS; Mean Square Error for the Leland-Lott Hedging Strategy M. Gamys and Y. Kabanov; Variance Reduction for MC/QMC Methods to Evaluate Option Prices J.-P. Fouque, C.-H. Han and Y. Lai; Estimation of the Local Volatility of Discount Bonds Using Market Quotes for Coupon-Bond Options H. Fujiwara, M. Kijima and K. Nishide; Real Options in a Duopoly Market with General Volatility Structure M. Kijima and T. Shibata; Arbitrage Pricing Under Transaction Costs: Continuous Time E. Denis; Leland's Approximations for Concave Pay-off Functions E. DenisOption Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures Y. Miyahara and N. MoriwakiThe Impact of Momentum Trading on the Market Price and Trades K. Nishide; Investment Game with Debt Financing M. Nishihara and T. Shibata; The Valuation of Callable Financial Commodities with Two Stopping Boundaries K. Sawaki, A. Suzuki and K. Yagi; Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity M. Ubukata and K. Oya; Quanto Pre-washing for Jump Diffusion Models H. Y. Wong and K. Y. LauThis 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 pProceedings of the 2008 Daiwa International Workshop on Financial EngineeringFinancial engineeringCongressesFinanceCongressesFinancial engineeringFinance332.60151Kijima Masaaki1957-54134Kabanov Yuri67071Daiwa International Workshop on Financial Engineering(2008 :Tokyo, Japan)Daiwa International Workshop on Financial Engineering.MiAaPQMiAaPQMiAaPQBOOK9910965069603321Recent advances in financial engineering4476249UNINA