By Masaaki Kijima, Chiaki Hara, Kei-Ichi Tanaka, Yukio Muromachi
This publication comprises eleven papers in line with study awarded on the KIER-TMU foreign Workshop on monetary Engineering, held in Tokyo in 2009. The Workshop, organised by way of Kyoto University's Institute of financial examine (KIER) and Tokyo Metropolitan collage (TMU), is the successor to the Daiwa foreign Workshop on monetary Engineering held from 2004 to 2008 via Professor Kijima (the Chair of this Workshop) and his colleagues. educational researchers and practitioners alike have provided the newest examine on monetary engineering at this overseas venue. those papers handle cutting-edge strategies in monetary engineering, and feature passed through a rigorous choice approach to make this booklet a superb one. This quantity should be of curiosity to lecturers, practitioners, and graduate scholars within the box of quantitative finance and monetary engineering.
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Extra resources for Recent Advances in Financial Engineering 2009: Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009
Sample text
The Kelly Capital Growth Investment Criterion: Theory and Practice, chapter Fractional Kelly Strategies for Benchmarked Asset Management. World Scientific, forthcoming. 21. D. Duffie, D. Filipovic, and W. Schachermayer. Affine processes and applications in finance. Annals of Applied Probability, 13:984–1053, 2003. 22. D. -L. Lions. PDE solutions of stochastic differential utility. Journal of Mathematical Economics, 21(6):577–606, 1992. 23. D. Duffie, J. Pan, and K. Singleton. Transform analysis and asset pricing for affine jump-diffusions.
Optimal stochastic linear systems with exponential criteria and their relation to deterministic differential games. IEEE Transactions on Automatic Control, 18(2):114–131, 1973. 29. E. R. Jakobsen and K. H. Karlsen. A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations. Nonlinear Differential Equations and Applications, 13:137–165, 2006. 30. B. Øksendal and A. Sulem. Applied Stochastic Control of Jump Diffusions. Springer, 2005. 31. K. Kuroda and H.
3 holds and we can concentrate our analysis on subsolutions and supersolutions sharing the May 3, 2010 13:34 Proceedings Trim Size: 9in x 6in 001 33 ˜ By same growth properties as the exponentially transformed value function Φ. 2, k k (t)x ∀(t, x) ∈ [0, T ] × Rn k k (t)x ∀(t, x) ∈ [0, T ] × Rn 0 < u˜ (t, x) ≤ eα (t)+β 0 < v˜ (t, x) ≤ eα (t)+β and lim u˜ (t, x) = lim v˜ (t, x) = 0 ∀t ∈ [0, T ] |x|→∞ |x|→∞ (56) for k = 1, . . 2. Since (56) holds at an exponential rate, then by Assumption (55) there exists R > 0, such that [˜u(t, x) − v˜ (t, x)] = sup (t,x)∈[0,T ]×Rn sup [˜u(t, x) − v˜ (t, x)] (t,x)∈[0,T ]×BR Hence, it is enough to show a contradiction with respect to the hypothesis sup [u˜ (t, x) − v˜ (t, x)] > 0 (57) (t,x)∈Q established on the set Q := [0, T ] × BR .
