New Trends in Financial Engineering
：Works under the Auspices of the World Class University Program of Ajou University
( Studies in Probability, Optimization and Statistics )
Publication subTitle ：Works under the Auspices of the World Class University Program of Ajou University
Publication series ： Studies in Probability, Optimization and Statistics
Author： Koo H.K.
Publisher： Ios Press
Publication year： 2011
E-ISBN: 9781607508359
P-ISBN(Paperback): 9781607508342
Subject： F Economic
Keyword： 经济
Language： ENG
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Description
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 exploring new research directions in financial engineering. It is broadly divided into three parts. The first part of the book reviews recent developments of real options; an application of the theory of financial options to capital investments with the emphasis on flexibility. Topics covered include the technique of variational inequalities, the use of forward and backward stochastic differential equations and the application of a real option approach to a consumption and portfolio selection problem. The second part of the book presents new topics, including simultaneous control of dividend payments and risk management, risk measures and non-linear probability models and a survey of recent studies on market microstructure. The last part of the volume proposes a new perspective. The availability and success of mathematical tools has attracted many talented people to the financial services
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