Contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. This book carries the papers presented at the workshop, and they are published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov. It aims to cater to academics, practitioners, graduate and postgraduate students.

Mean Square Error for the Leland-Lott Hedging Strategy (M Gamys & Y Kabanov); Variance Reduction for MC/QMC Methods to Evaluate Option Prices (J-P Fouque et al.); Quanto Pre-washing for Jump Diffusion Models (H Y Wong & K Y Lau); Estimation of the Local Volatility of Discount Bonds Using Market Quotes for Coupon-Bond Options (H Fujiwara et al.); Option Pricing based on Geometric Stable Processes and Minimal Entropy Martingale Measures (Y Miyahara & N Moriwaki); Arbitrage Pricing Under Transaction Costs: Continuous Time (E Denis); The Valuation of Callable Financial Commodities with Two Stopping Boundaries (K Sawaki et al.); Strategic Investment with Debt Financing (M Nishihara & T Shibata); Leland's Approximations for Concave Pay-off Functions (E Denis); Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity (M Ubukata & K Oya); The Impact of Momentum Trading on the Market Price and Trades (K Nishide); Real Options in a Duopoly Market with General Volatility Structure (M Kijima & T Shibata); Dynamic Asset Allocation under Stochastic Interest Rate and Market Price of Risk (K Tanaka).