Financial Engineering and Applications    (FEA 2007)

September 24 – 26, 2007
Berkeley, CA, USA
Editor(s): P. Locke
Other Years:

Abstracts may contain minor errors and formatting inconsistencies.
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Track Financial Engineering Theory FreeSubscription
588-010 Valuing Credit Default Swaps with Counterparty Risk A Combined Copula-LMM Approach
M. Hamp (Canada), J. Kettunen, and G. Meissner (USA)
Abstract
588-011 An Extension of Merton's Jump-Diffusion Model
G.H.L. Cheang (Singapore) and C. Chiarella (Australia)
Abstract
588-018 Risk Management with Generalized Hyperbolic Distributions
W. Hu and A. Kercheval (USA)
Abstract
588-023 A Receding Horizon Control Formulation of European Basket Option Hedging
J.A. Primbs, S. Mudchanatongsuk, and W. Wong (USA)
Abstract
588-026 Execution Costs in Financial Markets with Several Institutional Investors
S. Moazeni, Y. Li, and K. Larson (Canada)
Abstract
588-031 Option Pricing under the Normal Inverse Gaussian Distributions
Y. Lai (Canada)
Abstract
588-039 Forward Start Option Pricing with Stochastic Volatility: A General Framework
E. Amerio (Italy)
Abstract
Track Financial Engineering Applications FreeSubscription
588-013 Risk and Regret in Banking
M. Mulaudzi, M.A. Petersen, and I. Schoeman (South Africa)
Abstract
588-015 Financial Modelling in the Banking Industry
C.H. Fouche, M.A. Petersen, and J. Mukuddem-Petersen (South Africa)
Abstract
588-016 Financial Valuation in the Banking Industry
C.H. Fouche, M.A. Petersen, and J. Mukuddem-Petersen (South Africa)
Abstract
588-020 Residential Mortgage Prepayment: Lender's Arbitrage Approach
Y. Goncharov (USA)
Abstract
588-030 Price Fluctuations in Market Model with Heterogeneous Trading Strategies
Y. Gao and G. Beni (USA)
Abstract
588-036 Asian Basket Options and Implied Correlations in Oil Markets
S. Borovkova and F.J. Permana (The Netherlands)
Abstract
Track Special Session: Pushing the Theoretical Envelope FreeSubscription
588-801 Option Pricing with Regime Switching Lvy Processes using Fourier Space Time Stepping
K.R. Jackson, S. Jaimungal, and V. Surkov (Canada)
Abstract
588-802 Pricing American Options for Jump Diffusions with Iterated SOR
E. Bayraktar and H. Xing (USA)
Abstract
588-803 Consistent Functional PCA for Financial Time-Series
S. Jaimungal and E.K.H. Ng (Canada)
Abstract
588-806 A Semi-Dynamic Approach for Valuing and Hedging Options on Two Assets with Continuous Payout
S.-J. Deng (USA, PRC)
Abstract
Abstracts may contain minor errors and formatting inconsistencies.
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Rates (USD):   N/A (Hardcopy) ;  $35.19 (Online) ;  $41.40 (CD)

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Online Edition $35.19
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Individual Articles (Online): $38.00  
Hard Copy Subscriptions are not available for FEA 2007
ISSN: N/A ;
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ISSN (CD): N/A ;
ISBN (CD): 978-0-88986-681-2 ;
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The relevant topics for this conference include, but are not limited to: * Financial Derivatives * Risk Management * Stochastic Control * Financial/Economic Forecasting * Financial Valuation * Hedge Fund Management * Financial Visualization * Algorithmic Trading * Financial Engineering Applications.

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