LEADER 04134nam 2200637Ia 450 001 9910780810003321 005 20230721025249.0 010 $a1-282-44309-7 010 $a9786612443091 010 $a981-4273-47-3 035 $a(CKB)2550000000000481 035 $a(EBL)477174 035 $a(OCoLC)613344992 035 $a(SSID)ssj0000342189 035 $a(PQKBManifestationID)11255256 035 $a(PQKBTitleCode)TC0000342189 035 $a(PQKBWorkID)10285207 035 $a(PQKB)11465253 035 $a(MiAaPQ)EBC477174 035 $a(WSP)00000483 035 $a(Au-PeEL)EBL477174 035 $a(CaPaEBR)ebr10361590 035 $a(CaONFJC)MIL244309 035 $a(EXLCZ)992550000000000481 100 $a20090126d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aRecent advances in financial engineering$b[electronic resource] $eproceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 /$feditors, Masaaki Kijima ... [et al.] 210 $aSingapore ;$aHackensack, NJ $cWorld Scientific$dc2009 215 $a1 online resource (243 p.) 300 $a"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." 311 $a981-4273-46-5 320 $aIncludes bibliographical references. 327 $aPreface; 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. Denis 327 $aOption 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. Lau 330 $aThis 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 p 517 3 $aProceedings of the 2008 Daiwa International Workshop on Financial Engineering 606 $aFinancial engineering$vCongresses 606 $aFinance$vCongresses 615 0$aFinancial engineering 615 0$aFinance 676 $a332.60151 701 $aKijima$b Masaaki$f1957-$054134 701 $aKabanov$b Yuri$067071 712 12$aDaiwa International Workshop on Financial Engineering$f(2008 :$eTokyo, Japan) 712 12$aDaiwa International Workshop on Financial Engineering 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910780810003321 996 $aRecent advances in financial engineering$93825615 997 $aUNINA