New trends in financial engineering [electronic resource] : works under the auspices of the world class university program of Ajou University / edited by Hyeng Keun Koo.

Format:

Book

Contributor:

Koo, Hyeng Keun.

World Class University Program (Korea (South))

Series:

Studies in probability, optimization, and statistics ; v. 4.

Studies in probability, optimization, and statistics, 0928-3986 ; v. 4

Language:

English

Subjects (All):

Financial engineering.

Physical Description:

1 online resource (164 p.)

Edition:

1st ed.

Place of Publication:

Amsterdam ; Washington, D.C. : IOS Press, c2011.

Language Note:

English

Summary:

Financial engineering is defined as the application of mathematical methods to the solution of problems in finance. The recent financial crisis raised many challenges for financial engineers: not only were financially engineered products such as collateralized debt obligations and credit default swaps implicated in causing the crisis, but the risk management techniques developed by financial engineers appeared to fail when they were most desperately needed. This book is the first in a series describing research by a multidisciplinary team of economists, mathematicians and control theorists exp

Contents:

Title Page; Contents; Preface; Real Options and Variational Inequalities; Introduction; Complete Market and Risk-Neutral Pricing; Evolution of the Resource Process; The Classical Real Options Model - A Single Player (Monopolist); Economic Framework; The Monopolist's Problem and Its Solution; Real Options and Competition; The Economic Framework; Investment Payoff Formulation for Players; The Stackelberg Leader-Follower Game; The Preemption Game; Stackelberg Leader's Lowest Threshold, y1, vs. Optimal Threshold for Leading Firm in Preemption Game, y

Research and Development: Creator of New OptionsConclusion; Real Options: A Framework of Optimal Switching; Introduction; Finite-Horizon Optimal Switching; Dynamic Programming and Hamilton-Jacobi-Bellman Equation; Entry and Exit Under Ambiguity as an Infinite Horizon Two-Mode Switching Model; Conclusion; Optimal Consumption and Investment in the Presence of a Stopping Choice; Introduction; The Basic Market Environment; A Benchmark Problem; A Wealth-Dependent Investment Opportunity Set; The Problem; A Solution and Its Properties; Disutility, Optimal Retirement and Portfolio Selection

The ProblemA Solution and Its Properties; The Problem in the Presence of Liquidity Constraints; Optimal Retirement Time, Consumption/Investment, and Leisure Choice Problem; The Problem; The Solution and Its Properties; The Problem in the Presence of Liquidity Constraints; Conclusion; Stochastic Control Methods for the Joint Optimization of the Risk and Dividend Policies of a Firm; Introduction; Proportional Reinsurance; The Mathematical Model; Properties of the Value Function; Properties of the Solution to the QVI; The Optimal Policy; Bankruptcy and Expected Time Between Dividend Payments

Excess-of-Loss ReinsuranceThe Mathematical Model; Open Problems; Nonlinear Expectations and Limit Theorems; Introduction; Expectations and Risk Measures; g-Expectation; Choquet Expectation; Risk Measures; Nonlinear Expectations and Risk Measures; Summary; Nonlinear Expectations and Limit Theorems; Notation and Lemmas; Strong Law of Large Number for Capacities; Law of Iterated Logarithm for Capacities; Applications to Financial Engineering and Econometrics; Conclusion; Market Microstructure; Introduction; Microstructure Noise and High Frequency Data Analysis; Microstructure Noise

High Frequency Data AnalysisLiquidity Risk and Transaction Cost; Liquidity Cost Model; Transaction Cost Model; Limit Order Book Dynamics; Queuing Type Approach; Extra Spread Approach; Information Effect; Information Asymmetry, Informed Trader/Insider; Bid-Ask Spread, Volume, Variance, Depth, etc.; Financial Market Equilibrium; Conclusion; Financial Engineering and Agency Problems; Introduction; Financial Crises and Moral Hazard; The S&L (Savings and Loan) Crisis; The Subprime Mortgage Crisis; Excessive Competition over Similar Investment Opportunities

Effects of Agency Problems on Loan Contracts

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

6613432997

1-283-43299-4

9786613432995

1-60750-835-4

OCLC:

772635860