RECENT ADVANCES IN FINANCIAL ENGINEERING

RECENT ADVANCES IN FINANCIAL ENGINEERING
Proceedings of the 2008 Daiwa International Workshop on Financial Engineering

Otemachi Sankei Plaza, Tokyo, Japan, 4 - 5 August 2008

CONTENTS


FRONT MATTER	i
Mean Square Error for the Leland–Lott Hedging Strategy Moussa Gamys and Yuri Kabanov	1
Variance Reduction for MC/QMC Methods to Evaluate Option Prices Jean-Pierre Fouque, Chuan-Hsiang Han and Yongzeng Lai	27
Estimation of the Local Volatility of Discount Bonds Using Market Quotes for Coupon-Bond Options Hajime Fujiwara, Masaaki Kijima and Katsumasa Nishide	49
Real Options in a Duopoly Market with General Volatility Structure Masaaki Kijima and Takashi Shibata	71
Arbitrage Pricing Under Transaction Costs: Continuous Time Emmanuel Denis	91
Leland's Approximations for Concave Pay-off Functions Emmanuel Denis	107
Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures Yoshio Miyahara and Naruhiko Moriwaki	119
The Impact of Momentum Trading on the Market Price and Trades Katsumasa Nishide	135
Investment Game with Debt Financing Michi Nishihara and Takashi Shibata	161
The Valuation of Callable Financial Commodities with Two Stopping Boundaries Katsushige Sawaki, Atsuo Suzuki and Kyoko Yagi	189
Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity Masato Ubukata and Kosuke Oya	201
Quanto Pre-washing for Jump Diffusion Models Hoi Ying Wong and Ka Yung Lau	219
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