內容簡介

Eight refereed papers propose and review concepts, methods, and techniques related to current developments in financial engineering. Among the topics are forward prices in markets driven by continuous-time autoregression, a bottom-up dynamic model of portfolio credit risk, the limit behavior of option hedging sets under transaction costs, fractional Brownian motions in financial models and their Monte Carlo simulation, and mean-variance pre-commitment policies revisited via a mean-field technique. The annual workshop was launched in 2011 as a successor to the Daiwa International Workshop (2004-08) and the KIER-TMU International Workshop (2009-10). Annotation ©2014 Ringgold, Inc., Portland, OR (protoview.com)
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