LEADER 05552nam 2200661 a 450 001 9910811232803321 005 20240516212047.0 010 $a1-281-60371-6 010 $a9786613784407 010 $a981-4407-33-X 035 $a(CKB)2670000000232819 035 $a(EBL)982505 035 $a(OCoLC)804661861 035 $a(SSID)ssj0000741746 035 $a(PQKBManifestationID)12316220 035 $a(PQKBTitleCode)TC0000741746 035 $a(PQKBWorkID)10743178 035 $a(PQKB)11507378 035 $a(WSP)00002724 035 $a(Au-PeEL)EBL982505 035 $a(CaPaEBR)ebr10583625 035 $a(CaONFJC)MIL378440 035 $a(MiAaPQ)EBC982505 035 $a(EXLCZ)992670000000232819 100 $a20120807d2012 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aProceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 /$f[edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka 205 $a1st ed. 210 $aHackensack, N.J. $cWorld Scientific$d2012 215 $a1 online resource (231 p.) 225 0 $aRecent advances in financial engineering. 2011 300 $aDescription based upon print version of record. 311 $a981-4407-32-1 320 $aIncludes bibliographical references. 327 $aInternational Workshop on Finance 2011; Preface; Program; Contents; On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals L. P. Hughston and F. Mina; References; On Pricing Contingent Capital Notes D. B. Madan; 1. Introduction; 2. The Foreign Equity Option Surface; 3. The FX Option Surface; 4. Quantoing CSGN.VX from CHF to USD; 4.1 General principles for quantoing option surfaces; 4.2 The joint law employed; 4.3 Quantoing CSGN.VX into USD; 5. ADR the Quantoed Surface; 5.1 General procedure to ADR a surface; 5.2 CSGN.VX ADR into USD 327 $a6. The Compound Spread Option Model for the Law of the Balance Sheet 6.1 Equity options as compound spread options; 6.2 Results of calibrating compound spread option model on the ADR surface; 7. Calibrate the Conic Stress Level; 8. Simulating Assets, Liabilities, Stock Prices and Capital Ratios; 9. Pricing the CoCo; 10. Conclusion; References; A Survey on Modeling and Analysis of Basis Spreads M. Fujii and A. Takahashi; 1. Introduction; 2. Review of Econometric Analysis on the Spread Dynamics; 3. Review of Existing Pricing Models in the Presence of Spreads; 4. Summary and Implication 327 $aReferences Conservative Delta Hedging under Transaction Costs M. Fukasawa; 1. Introduction; 2. Conservative Delta Hedging; 3. Discrete Hedging under Transaction Costs; 4. Mean Squared Error; 5. Leland's Strategy and the Choice of; 6. Conclusion; References; The Theory of Optimal Investment in Information Security and Adjustment Costs: An Impulse Control Approach M. Goto and K. Tatsumi; 1. Introduction; 2. Static Optimum Investment Size: The Model of Gordon-Loeb; 3. Optimal Investment in Information Security; 3.1 Overview; 3.1.1 Literature review: Models of multiple investments 327 $a3.1.2 Adjustment costs 3.1.3 Outline of our problem stated; 3.1.4 Presumptions reminded; 3.2 Dynamic control considerations; 3.2.1 Stochastic impulse control problem; 3.2.2 Optimal (s, S ) inventory policy; 3.2.3 Adjustment costs and optimal information security investment; 3.3 Formulation and solution; 3.3.1 Assumptions; 3.3.2 Problem to be solved; 3.3.3 Interpretation; 4. The Optimal Solution: Numerical Illustrations; 4.1 Derivation of optimal solution; 4.2 The effect of individual parameter; 4.2.1 The effects of volatility, drift, vulnerability and efficiency 327 $a4.2.2 The effect of adjustment costs 4.2.3 The effect of interest rate; 4.3 The effects of important variables and considerations; 4.3.1 The effect of multiple investments; 4.3.2 Considerations on investment interval and frequency; 5. Concluding Remarks; 5.1 Summary; 5.2 Remaining problems; 5.2.1 Interpretation of the model; 5.2.2 Much simpler investment rule; 5.2.3 More Realistic formulation of the threat; References; Strategic Investment with Three Asymmetric Firms S. Ko and T. Shibata; 1. Introduction; 2. Model; 2.1 Setup; 2.2 Value functions in the triopoly market 327 $a2.3 Value functions in the monopoly and duopoly markets 330 $aThis 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 606 $aFinancial engineering$vCongresses 615 0$aFinancial engineering 676 $a332 701 $aTakahashi$b Akihiko$01613601 701 $aMuromachi$b Yukio$01613602 701 $aNakaoka$b Hidetaka$01613603 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910811232803321 996 $aProceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011$93942993 997 $aUNINA