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Inspired by finance : the Musiela festschrift / / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors
| Inspired by finance : the Musiela festschrift / / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , 2014 |
| Descrizione fisica | 1 online resource (xxiii, 543 pages) : illustrations (some color) |
| Disciplina | 658 |
| Collana | Gale eBooks |
| Soggetto topico | Finance - Mathematical models |
| ISBN | 3-319-02069-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | R. Ahlip and M. Rutkowski: Forward Start Foreign Exchange Options under Heston’s Volatility and the CIR Interest R -- A. Bensoussan and S. R. Hoe:Real Options with Competition and Incomplete Market -- T. R. Bielecki and S. Crépey: Dynamic Hedging of Counterparty Exposure -- L. Campi:A Note on Market Completeness with American Put Options -- S. Cawston and L. Vostrikova: An f -Divergence Approach for Optimal Portfolios in Exponential Lévy Models -- B. Chouaf and S. Pergamenchtchikov: Optimal Investment with Bounded VaR for Power Utility Functions -- T. Choulli, J. Ma and M.-A. Morlais:Three Essays on Exponential Hedging with Variable Exit Times -- S. Darses and E.l Lépinette: Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient -- N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari:Conditional Default Probability and Density -- R. Douady:Yield Curve Smoothing and Residual Variance of Fixed Income Positions -- E. Eberlein and D. B. Madan: Maximally Acceptable Portfolios -- P. V. Gapeev: Some Extensions of Norros’ Lemma in Models with Several Defaults -- P. V. Gapeev and N. Rodosthenous:On the Pricing of Perpetual American Compound Options -- E. Gobet and A. Suleiman: New Approximations in Local Volatility Models -- P. Hepperger: Low-Dimensional Partial Integro-Differential Equations for High-Dimensional Asian Options -- C. Kardaras: A Time BeforeWhich Insiders Would Not Undertake Risk -- P.l C. Kettler, F. Proske, M. Rubtsov: Sensitivity with Respect to the Yield Curve:Duration in a Stochastic Setting -- M. Kijima and C. Ch. Siu:On the First Passage Time under Regime-Switching with Jumps -- A. Kohatsu-Higa, N. Vayatis, K. Yasuda: Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process -- I. Molchanov and M. Schmutz:Multiasset Derivatives and Joint Distributions of Asset Prices -- A. A. Novikov, T. G. Ling and N. Kordzakhia: Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results -- S. Nadtochiy and Th. Zariphopoulou: A Class of Homothetic Forward Investment Performance Processes with Non-Zero Volatility -- E. Presman: Solution of Optimal Stopping Problem Based on a Modification of Payoff Function -- M. Schmutz and Th. Zürcher:A Stieltjes Approach to Static Hedges -- I. M. Sonin:Optimal Stopping of Seasonal Observations and Projection of a Markov Chain. |
| Record Nr. | UNINA-9910300142703321 |
| Cham, Switzerland : , : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent advances in financial engineering [[electronic resource] ] : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / / editors, Masaaki Kijima ... [et al.]
| Recent advances in financial engineering [[electronic resource] ] : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / / editors, Masaaki Kijima ... [et al.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific, c2009 |
| Descrizione fisica | 1 online resource (243 p.) |
| Disciplina | 332.60151 |
| Altri autori (Persone) |
KijimaMasaaki <1957->
KabanovYuri |
| Soggetto topico |
Financial engineering
Finance |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-44309-7
9786612443091 981-4273-47-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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. Denis
Option 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 |
| Altri titoli varianti | Proceedings of the 2008 Daiwa International Workshop on Financial Engineering |
| Record Nr. | UNINA-9910457111203321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent advances in financial engineering [[electronic resource] ] : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / / editors, Masaaki Kijima ... [et al.]
| Recent advances in financial engineering [[electronic resource] ] : proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008 / / editors, Masaaki Kijima ... [et al.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific, c2009 |
| Descrizione fisica | 1 online resource (243 p.) |
| Disciplina | 332.60151 |
| Altri autori (Persone) |
KijimaMasaaki <1957->
KabanovYuri |
| Soggetto topico |
Financial engineering
Finance |
| ISBN |
1-282-44309-7
9786612443091 981-4273-47-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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. Denis
Option 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 |
| Altri titoli varianti | Proceedings of the 2008 Daiwa International Workshop on Financial Engineering |
| Record Nr. | UNINA-9910780810003321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent 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.]
| Recent 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.] |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific, c2009 |
| Descrizione fisica | 1 online resource (243 p.) |
| Disciplina | 332.60151 |
| Altri autori (Persone) |
KijimaMasaaki <1957->
KabanovYuri |
| Soggetto topico |
Financial engineering
Finance |
| ISBN |
1-282-44309-7
9786612443091 981-4273-47-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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. Denis
Option 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 |
| Altri titoli varianti | Proceedings of the 2008 Daiwa International Workshop on Financial Engineering |
| Record Nr. | UNINA-9910812286103321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||