Masaaki Kijima's Books

Stochastic Processes with Applications to Finance

By: Masaaki Kijima

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Stochastic Processes with Applications to Finance

By: Masaaki Kijima

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345

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CRC Press

Published Date

ISBN 10

1439884846

ISBN 13

9781439884843

Recent Advances in Financial Engineering

Proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008

By: Masaaki Kijima

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Recent Advances in Financial Engineering

Proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008

By: Masaaki Kijima

This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.

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243

Publisher

World Scientific

Published Date

ISBN 10

9814273473

ISBN 13

9789814273473

Markov Processes for Stochastic Modeling

By: Masaaki Kijima

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Markov Processes for Stochastic Modeling

By: Masaaki Kijima

This book presents an algebraic development of the theory of countable state space Markov chains with discrete- and continuous-time parameters. A Markov chain is a stochastic process characterized by the Markov prop erty that the distribution of future depends only on the current state, not on the whole history. Despite its simple form of dependency, the Markov property has enabled us to develop a rich system of concepts and theorems and to derive many results that are useful in applications. In fact, the areas that can be modeled, with varying degrees of success, by Markov chains are vast and are still expanding. The aim of this book is a discussion of the time-dependent behavior, called the transient behavior, of Markov chains. From the practical point of view, when modeling a stochastic system by a Markov chain, there are many instances in which time-limiting results such as stationary distributions have no meaning. Or, even when the stationary distribution is of some importance, it is often dangerous to use the stationary result alone without knowing the transient behavior of the Markov chain. Not many books have paid much attention to this topic, despite its obvious importance.

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345

Publisher

Springer

Published Date

ISBN 10

1489931325

ISBN 13

9781489931320

New Horizons in Piling

Development and Application of Press-in Piling

By: Malcolm D. Bolton,Akio Kitamura,Osamu Kusakabe,Masaaki Terashi

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New Horizons in Piling

Development and Application of Press-in Piling

By: Malcolm D. Bolton,Akio Kitamura,Osamu Kusakabe,Masaaki Terashi

The piling industry has, in recent years, developed a variety of press-in piling technologies with a view to mitigate noise & vibration nuisance. This book focuses on the "Walk-on-Pile" type press-in piling system, which offers an alternative engineering solution for piling works. This type of piling has unique features, including the application of the compact piling machine using pre-installed piles as a source of reaction force to jack in a new pile by hydraulic pressure. Moreover, the machine can walk along the top of piles already installed, thus enabling piling in a limited space and headroom with minimum disruption to social functions and services of existing infrastructure. These features are opening up a new horizon in piling, leading to novel application of embedded walls previously considered impossible. This introductory book provides a historical development of press-in piling and various challenging applications worldwide as well as scientific research outcomes, forming a valuable source of reference for readers who are unfamiliar with press-in piling, including project owners, design engineers, practical engineers as well as researchers and students.

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Page Count

214

Publisher

CRC Press

Published Date

ISBN 10

1000297721

ISBN 13

9781000297720

Stochastic Processes with Applications to Finance

By: Masaaki Kijima

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Stochastic Processes with Applications to Finance

By: Masaaki Kijima

In recent years, modeling financial uncertainty using stochastic processes has become increasingly important, but it is commonly perceived as requiring a deep mathematical background. Stochastic Processes with Applications to Finance shows that this is not necessarily so. It presents the theory of discrete stochastic processes and their applications in finance in an accessible treatment that strikes a balance between the abstract and the practical. Using an approach that views sophisticated stochastic calculus as based on a simple class of discrete processes-"random walks"-the author first provides an elementary introduction to the relevant areas of real analysis and probability. He then uses random walks to explain the change of measure formula, the reflection principle, and the Kolmogorov backward equation. The Black-Scholes formula is derived as a limit of binomial model, and applications to the pricing of derivative securities are presented. Another primary focus of the book is the pricing of corporate bonds and credit derivatives, which the author explains in terms of discrete default models. By presenting important results in discrete processes and showing how to transfer those results to their continuous counterparts, Stochastic Processes with Applications to Finance imparts an intuitive and practical understanding of the subject. This unique treatment is ideal both as a text for a graduate-level class and as a reference for researchers and practitioners in financial engineering, operations research, and mathematical and statistical finance.

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Page Count

290

Publisher

CRC Press

Published Date

ISBN 10

1584882247

ISBN 13

9781584882244

Stochastic Processes with Applications to Finance, Second Edition

By: Masaaki Kijima

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Stochastic Processes with Applications to Finance, Second Edition

By: Masaaki Kijima

Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools that are easy to understand even for those with little mathematical expertise. This second edition covers several important developments in the financial industry. New to the Second Edition A chapter on the change of measures and pricing of insurance products Many examples of the change of measure technique, including its use in asset pricing theory A section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivatives Exploring the merge of actuarial science and financial engineering, this edition examines how the pricing of insurance products, such as equity-linked annuities, requires knowledge of asset pricing theory since the equity index can be traded in the market. The book looks at the development of many probability transforms for pricing insurance risks, including the Esscher transform. It also describes how the copula model is used to model the joint distribution of underlying assets. By presenting significant results in discrete processes and showing how to transfer the results to their continuous counterparts, this text imparts an accessible, practical understanding of the subject. It helps readers not only grasp the theory of financial engineering, but also implement the theory in business.

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Page Count

346

Publisher

CRC Press

Published Date

ISBN 10

143988482X

ISBN 13

9781439884829

Markov Processes for Stochastic Modeling

By: Masaaki Kijima

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Markov Processes for Stochastic Modeling

By: Masaaki Kijima

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Solve jigsaw puzzle

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Page Count

345

Publisher

Springer

Published Date

ISBN 10

1489931325

ISBN 13

9781489931320

Recent Advances in Financial Engineering

Proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008

By: Masaaki Kijima

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Recent Advances in Financial Engineering

Proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Otemachi Sankei Plaza, Tokyo, Japan, 4-5 August 2008

By: Masaaki Kijima

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

243

Publisher

World Scientific

Published Date

ISBN 10

9814273473

ISBN 13

9789814273473

Book's by Masaaki Kijima

Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance

Recent Advances in Financial Engineering

Recent Advances in Financial Engineering

Markov Processes for Stochastic Modeling

Markov Processes for Stochastic Modeling

New Horizons in Piling

New Horizons in Piling

Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance, Second Edition

Stochastic Processes with Applications to Finance, Second Edition

Markov Processes for Stochastic Modeling

Markov Processes for Stochastic Modeling

Recent Advances in Financial Engineering

Recent Advances in Financial Engineering

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