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...

This paper studies numerical procedures for the Hull-White extended Vasicek model. The purpose of this paper is two- fold. The first is to elaborate the procedure of Hull and White (1994). We obtain the shift function directly from the initial term structure without any calculation on a tree....

We consider the general n-factor Heath, Jarrow, and Morton model (1992) and provide a sufficient condition on the volatility structure for the spot rate process to be Markovian with 2n state variables. The price of a discount bond is also Markovian with the same state variables and, hence,...

Hull and White (1993) considered a general one-factor interest rate model and developed a numerical procedure involving the use of trinomial trees so that the model is consistent with initial market data. Their procedure is very effective for some particular types of volatility functions, but...

This paper proposes a unified approximation method for various options whose payoffs depend on the volume weighted average price (VWAP). Despite their popularity in practice, quite few pricing models have been developed in the literature. Also, in previous works, the underlying asset process has...

We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial markets....