Recent Advances in Financial Engineering 2010 : Proceedings of the Kier - Tmu International Workshop on Financial Engineering 2010
Intro -- CONTENTS -- PREFACE -- PROGRAM -- The Distribution of Returns at Longer Horizons -- 1. Introduction -- 2. Preliminary Evidence on Scaling and Accumulating i.i.d. Variates -- 3. Combining the Accumulation of i.i.d. Variates with Scaling -- 4. Estimating the Scaling Coefficients c, γ -- 5. Performance of the Joint Model -- 5.1 Skewness and kurtosis in the joint model -- 6. Conclusion -- References -- Two Examples of an Insider with Medium/Long Term Effects on the Underlying -- 1. Introduction -- 2. Optimal Portfolios with Fixed Enlarged Filtration -- 2.1 Enlargement of filtrations -- 2.2 Existence and uniqueness of optimal portfolios for fixed enlarged filtrations -- 2.3 Characterization of optimal portfolios and optimal utility function -- 2.4 The partial equilibrium equation -- 3. Example (c): A market with insider medium term effects on the price -- 4. Example (d): A market with an insider with memory effects on the price -- 5. Concluding Remarks -- 6. Appendix 1: Proofs of Section 3 -- 7. Appendix 2: Proofs of Section 4 -- References -- A Note on the Risk Management of CDOs -- 1. Introduction -- 2. Modelling of Default Times -- 3. Portfolio Dynamics -- 4. Option Hedging -- 5. Conclusion -- Appendix -- References -- Robust No Arbitrage Condition for Continuous-time Models with Transaction Costs -- 1. Introduction -- 2. The Continuous-time Model -- 2.1 Consistent price systems -- 3. Main Result -- 3.1 Existence of consistent price systems for a general model -- 4. Proofs -- 5. Appendix -- Acknowledgement -- References -- Modeling of Interest-Rate Term Structures under Collateralization and its Implications -- 1. Introduction -- 2. Pricing Under the Collateralization -- 3. Calibration to Single Currency Swaps -- 3.1 Overnight index swap -- 3.2 Interest rate swap -- 3.3 Tenor swap -- 3.4 Calibration example.
Year of publication: |
2011
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Authors: | Kijima, Masaaki |
Other Persons: | Nishide, Katsumasa (contributor) |
Publisher: |
Singapore : World Scientific Publishing Co Pte Ltd |
Description of contents: |
Key Features:Wide coverage of the research themesContains the most updated research resultsNumerous global contributions.
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Saved in:
Online Resource
Extent: | 1 online resource (258 pages) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Description based on publisher supplied metadata and other sources. |
ISBN: | 978-981-4366-03-8 ; 978-981-4366-02-1 |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012687053
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