Recent Advances in Financial Engineering 2012
Latest Publications

TOTAL DOCUMENTS

9

(FIVE YEARS 0)

H-INDEX

1

(FIVE YEARS 0)

Published By WORLD SCIENTIFIC

9789814571630, 9789814571647

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0005 ◽

2014 ◽

Author(s):

Kensuke Ishitani ◽

Takashi Kato

Keyword(s):

Continuous Time ◽

Value Function ◽

Market Impact ◽

Time Value ◽

Optimal Execution

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FRONT MATTER

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_fmatter ◽

2014 ◽

Author(s):

Akihiko Takahashi

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Mean-Variance Pre-Commitment Policies Revisited Via a Mean-Field Technique

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0008 ◽

2014 ◽

Author(s):

A. Bensoussan ◽

K. C. Wong ◽

S. C. P. Yam

Keyword(s):

Mean Field ◽

Field Technique ◽

Mean Variance ◽

Mean Field Technique

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Optimal Investment Timing and Volume Decisions under Debt Borrowing Constraints

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0006 ◽

2014 ◽

Author(s):

Takashi Shibata ◽

Michi Nishihara

Keyword(s):

Optimal Investment ◽

Borrowing Constraints ◽

Investment Timing

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A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0003 ◽

2014 ◽

Cited By ~ 1

Author(s):

Tomasz R. Bielecki ◽

Areski Cousin ◽

Stéphane Crépey ◽

Alexander Herbertsson

Keyword(s):

Credit Risk ◽

Dynamic Model ◽

Bottom Up ◽

Portfolio Credit Risk ◽

Common Shock

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On the Limit Behavior of Option Hedging Sets under Transaction Costs

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0004 ◽

2014 ◽

Author(s):

J Grépat

Keyword(s):

Transaction Costs ◽

Limit Behavior ◽

Option Hedging

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A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0002 ◽

2014 ◽

Cited By ~ 3

Author(s):

Tomasz R. Bielecki ◽

Areski Cousin ◽

Stéphane Crépey ◽

Alexander Herbertsson

Keyword(s):

Credit Risk ◽

Dynamic Model ◽

Bottom Up ◽

Portfolio Credit Risk

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Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0007 ◽

2014 ◽

Cited By ~ 1

Author(s):

Chun Ming Tam

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Financial Models ◽

Brownian Motions ◽

Fractional Brownian Motions

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Forward Prices in Markets Driven by Continuous-time Autoregressive Processes

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0001 ◽

2014 ◽

Author(s):

Fred Espen Benth ◽

Sara Ana Solanilla Blanco

Keyword(s):

Continuous Time ◽

Autoregressive Processes ◽

Forward Prices

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