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Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 [[electronic resource] /] / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka
| Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 [[electronic resource] /] / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, 2012 |
| Descrizione fisica | 1 online resource (231 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
TakahashiAkihiko
MuromachiYukio NakaokaHidetaka |
| Collana | Recent advances in financial engineering. 2011 |
| Soggetto topico | Financial engineering |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-60371-6
9786613784407 981-4407-33-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
International 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
6. 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 References 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 3.1.2 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 4.2.2 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 2.3 Value functions in the monopoly and duopoly markets |
| Record Nr. | UNINA-9910462042803321 |
| Hackensack, N.J., : World Scientific, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 [[electronic resource] /] / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka
| Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 [[electronic resource] /] / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, 2012 |
| Descrizione fisica | 1 online resource (231 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
TakahashiAkihiko
MuromachiYukio NakaokaHidetaka |
| Collana | Recent advances in financial engineering. 2011 |
| Soggetto topico | Financial engineering |
| ISBN |
1-281-60371-6
9786613784407 981-4407-33-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
International 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
6. 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 References 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 3.1.2 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 4.2.2 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 2.3 Value functions in the monopoly and duopoly markets |
| Record Nr. | UNINA-9910790329603321 |
| Hackensack, N.J., : World Scientific, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 [[electronic resource] /] / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka
| Proceedings of the International Workshop on Finance 2011. Doshisha University, Kyoto, Japan. 3-4 August 2011 [[electronic resource] /] / [edited by] Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, 2012 |
| Descrizione fisica | 1 online resource (231 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
TakahashiAkihiko
MuromachiYukio NakaokaHidetaka |
| Collana | Recent advances in financial engineering. 2011 |
| Soggetto topico | Financial engineering |
| ISBN |
1-281-60371-6
9786613784407 981-4407-33-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
International 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
6. 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 References 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 3.1.2 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 4.2.2 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 2.3 Value functions in the monopoly and duopoly markets |
| Record Nr. | UNINA-9910811232803321 |
| Hackensack, N.J., : World Scientific, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||