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2010 recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering, 2010 : Akihabara Daibiru, Tokyo, 2-3 August, 2010 / / editors, Masaaki Kijima ... [et al.]
| 2010 recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering, 2010 : Akihabara Daibiru, Tokyo, 2-3 August, 2010 / / editors, Masaaki Kijima ... [et al.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2011 |
| Descrizione fisica | xi, 245 p. : ill |
| Disciplina | 332 |
| Altri autori (Persone) | KijimaMasaaki <1957-> |
| Soggetto topico | Financial engineering |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-43406-7
9786613434067 981-4366-03-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The distribution of returns at longer horizons / E. Eberlein and D. B. Madan -- Two examples of an insider with medium/long term effects on the underlying / H. Hata and A. Kohatsu-Higa -- A note on the risk management of CDOs / J.-P. Laurent -- Robust no arbitrage condition for continuous-time models with transaction costs / E. Denis -- Modeling of interest-rate term structures under collateralization and its implications / M. Fujii and A. Takahashi -- On the state variables for optimal portfolio strategies in the Japanese market / S. Kamimura -- The diversity of information acquisition strategies in a noisy REE model with a common signal and independent signals / S. Kawanishi -- Option pricing with a regime-switching Levy model / C. C. Siu -- An empirical analysis of equity market expectations in the financial turmoil using implied moments and jump diffusion processes / Y. Sugihara and N. Oda -- Investor characteristics and portfolio value / N. Takezawa -- Optimal hedging with additive models / Y. Yamada. |
| Record Nr. | UNINA-9910464526603321 |
| Singapore ; ; Hackensack, N.J., : World Scientific, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
2010 recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering, 2010 : Akihabara Daibiru, Tokyo, 2-3 August, 2010 / / editors, Masaaki Kijima ... [et al.]
| 2010 recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering, 2010 : Akihabara Daibiru, Tokyo, 2-3 August, 2010 / / editors, Masaaki Kijima ... [et al.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2011 |
| Descrizione fisica | xi, 245 p. : ill |
| Disciplina | 332 |
| Altri autori (Persone) | KijimaMasaaki <1957-> |
| Soggetto topico | Financial engineering |
| Soggetto genere / forma | Conference papers and proceedings. |
| ISBN |
1-283-43406-7
9786613434067 981-4366-03-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The distribution of returns at longer horizons / E. Eberlein and D. B. Madan -- Two examples of an insider with medium/long term effects on the underlying / H. Hata and A. Kohatsu-Higa -- A note on the risk management of CDOs / J.-P. Laurent -- Robust no arbitrage condition for continuous-time models with transaction costs / E. Denis -- Modeling of interest-rate term structures under collateralization and its implications / M. Fujii and A. Takahashi -- On the state variables for optimal portfolio strategies in the Japanese market / S. Kamimura -- The diversity of information acquisition strategies in a noisy REE model with a common signal and independent signals / S. Kawanishi -- Option pricing with a regime-switching Levy model / C. C. Siu -- An empirical analysis of equity market expectations in the financial turmoil using implied moments and jump diffusion processes / Y. Sugihara and N. Oda -- Investor characteristics and portfolio value / N. Takezawa -- Optimal hedging with additive models / Y. Yamada. |
| Record Nr. | UNINA-9910789067503321 |
| Singapore ; ; Hackensack, N.J., : World Scientific, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
2010 recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering, 2010 : Akihabara Daibiru, Tokyo, 2-3 August, 2010 / / editors, Masaaki Kijima ... [et al.]
| 2010 recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering, 2010 : Akihabara Daibiru, Tokyo, 2-3 August, 2010 / / editors, Masaaki Kijima ... [et al.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2011 |
| Descrizione fisica | xi, 245 p. : ill |
| Disciplina | 332 |
| Altri autori (Persone) | KijimaMasaaki <1957-> |
| Soggetto topico | Financial engineering |
| Soggetto genere / forma | Conference papers and proceedings. |
| ISBN |
1-283-43406-7
9786613434067 981-4366-03-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The distribution of returns at longer horizons / E. Eberlein and D. B. Madan -- Two examples of an insider with medium/long term effects on the underlying / H. Hata and A. Kohatsu-Higa -- A note on the risk management of CDOs / J.-P. Laurent -- Robust no arbitrage condition for continuous-time models with transaction costs / E. Denis -- Modeling of interest-rate term structures under collateralization and its implications / M. Fujii and A. Takahashi -- On the state variables for optimal portfolio strategies in the Japanese market / S. Kamimura -- The diversity of information acquisition strategies in a noisy REE model with a common signal and independent signals / S. Kawanishi -- Option pricing with a regime-switching Levy model / C. C. Siu -- An empirical analysis of equity market expectations in the financial turmoil using implied moments and jump diffusion processes / Y. Sugihara and N. Oda -- Investor characteristics and portfolio value / N. Takezawa -- Optimal hedging with additive models / Y. Yamada. |
| Record Nr. | UNINA-9910825751903321 |
| Singapore ; ; Hackensack, N.J., : World Scientific, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 / / editors, Masaaki Kijima ... [et al.]
| Recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 / / editors, Masaaki Kijima ... [et al.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2010 |
| Descrizione fisica | 1 online resource (284 p.) |
| Disciplina | 332 |
| Altri autori (Persone) | KijimaMasaaki <1957-> |
| Soggetto topico | Financial engineering |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-14442-5
9786613144423 981-4304-07-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Risk sensitive investment management with affine processes : a viscosity approach / M. Davis and S. Lleo -- Small-sample estimation of models of portfolio credit risk / M.B. Gordy and E. Heitfield -- Heterogeneous beliefs with mortal agents / A.A. Brown and L.C.G. Rogers -- Counterparty risk on a CDS in a Markov chain copula model with joint defaults / S. Crépey, M. Jeanblanc and B. Zargari -- Portfolio efficiency under heterogeneous beliefs / X.-Z. He and L. Shi -- Security pricing with information-sensitive discounting / A. Macrina and P.A. Parbhoo -- On statistical aspects in calibrating a geometric skewed stable asset price model / H. Masuda -- A note on a statistical hypothesis testing for removing noise by the random matrix theory and its application to co-volatility matrices / T. Morimoto and K. Tachibana -- Quantile hedging for defaultable claims / Y. Nakano -- New unified computational algorithm in a high-order asymptotic expansion scheme / K. Takehara, A. Takahashi and M. Toda -- Can financial synergy motivate M&A? / Y. Tian, M. Nishihara and T. Shibata. |
| Record Nr. | UNINA-9910456220003321 |
| Singapore ; ; Hackensack, N.J., : World Scientific, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 / / editors, Masaaki Kijima ... [et al.]
| Recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 / / editors, Masaaki Kijima ... [et al.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2010 |
| Descrizione fisica | 1 online resource (284 p.) |
| Disciplina | 332 |
| Altri autori (Persone) | KijimaMasaaki <1957-> |
| Soggetto topico | Financial engineering |
| ISBN |
1-283-14442-5
9786613144423 981-4304-07-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Risk sensitive investment management with affine processes : a viscosity approach / M. Davis and S. Lleo -- Small-sample estimation of models of portfolio credit risk / M.B. Gordy and E. Heitfield -- Heterogeneous beliefs with mortal agents / A.A. Brown and L.C.G. Rogers -- Counterparty risk on a CDS in a Markov chain copula model with joint defaults / S. Crépey, M. Jeanblanc and B. Zargari -- Portfolio efficiency under heterogeneous beliefs / X.-Z. He and L. Shi -- Security pricing with information-sensitive discounting / A. Macrina and P.A. Parbhoo -- On statistical aspects in calibrating a geometric skewed stable asset price model / H. Masuda -- A note on a statistical hypothesis testing for removing noise by the random matrix theory and its application to co-volatility matrices / T. Morimoto and K. Tachibana -- Quantile hedging for defaultable claims / Y. Nakano -- New unified computational algorithm in a high-order asymptotic expansion scheme / K. Takehara, A. Takahashi and M. Toda -- Can financial synergy motivate M&A? / Y. Tian, M. Nishihara and T. Shibata. |
| Record Nr. | UNINA-9910780884903321 |
| Singapore ; ; Hackensack, N.J., : World Scientific, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 / / editors, Masaaki Kijima ... [et al.]
| Recent advances in financial engineering [[electronic resource] ] : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 / / editors, Masaaki Kijima ... [et al.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2010 |
| Descrizione fisica | 1 online resource (284 p.) |
| Disciplina | 332 |
| Altri autori (Persone) | KijimaMasaaki <1957-> |
| Soggetto topico | Financial engineering |
| ISBN |
1-283-14442-5
9786613144423 981-4304-07-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Risk sensitive investment management with affine processes : a viscosity approach / M. Davis and S. Lleo -- Small-sample estimation of models of portfolio credit risk / M.B. Gordy and E. Heitfield -- Heterogeneous beliefs with mortal agents / A.A. Brown and L.C.G. Rogers -- Counterparty risk on a CDS in a Markov chain copula model with joint defaults / S. Crépey, M. Jeanblanc and B. Zargari -- Portfolio efficiency under heterogeneous beliefs / X.-Z. He and L. Shi -- Security pricing with information-sensitive discounting / A. Macrina and P.A. Parbhoo -- On statistical aspects in calibrating a geometric skewed stable asset price model / H. Masuda -- A note on a statistical hypothesis testing for removing noise by the random matrix theory and its application to co-volatility matrices / T. Morimoto and K. Tachibana -- Quantile hedging for defaultable claims / Y. Nakano -- New unified computational algorithm in a high-order asymptotic expansion scheme / K. Takehara, A. Takahashi and M. Toda -- Can financial synergy motivate M&A? / Y. Tian, M. Nishihara and T. Shibata. |
| Record Nr. | UNINA-9910808934603321 |
| Singapore ; ; Hackensack, N.J., : World Scientific, 2010 | ||
| 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 [[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-9910812286103321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||