Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering, Otemachi Sankei Plaza, Tokyo, Japan 4-5 August 2008

by Kijima, Masaaki; Egami, Masahiko; Tanaka, Kei-ichi; Muromachi, Yukio

• ISBN13: 9789814273466
• ISBN10: 9814273465
• Format: Hardcover
• Copyright: 2009-07-30
• Publisher: World Scientific Pub Co Inc

Summary

This 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 practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.

Table of Contents

Preface	p. v
Program	p. vii
Mean Square Error for the Leland-Lott Hedging Strategy	p. 1
Variance Reduction for MC/QMC Methods to Evaluate Option Prices	p. 27
Estimation of the Local Volatility of Discount Bonds Using Market Quotes for Coupon-Bond Options	p. 49
Real Options in a Duopoly Market with General Volatility Structure	p. 71
Arbitrage Pricing Under Transaction Costs: Continuous Time	p. 91
Leland's Approximations for Concave Pay-off Functions	p. 107
Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures	p. 119
The Impact of Momentum Trading on the Market Price and Trades	p. 135
Investment Game with Debt Financing	p. 161
The Valuation of Callable Financial Commodities with Two Stopping Boundaries	p. 189
Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity	p. 201
Quanto Pre-washing for Jump Diffusion Models	p. 219
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