Tuesday, August 19, 2014

2015 June CFA Level III - Study Plan

  • CFA Institute
  • Schweser
    • 2013 CFA Level III Notes
      • Level I and II Refresher
        • 2014/8/14-9/10
      • Book 1 to 5
        • *
      • QuickSheet
        • *
    • 2015 CFA Level III Notes: SchweserNotes Volumes 1-5 & Quicksheet Kit (eBook Materials)
      • SchweserNotes Book 3 (eBook) (Est. 2014/9/4) 2014/9/10-10/2
      • SchweserNotes Book 4 (eBook) (Est. 9/12/2014) 
      • SchweserNotes Book 5 (eBook) (Est. 9/20/2014)
      • SchweserNotes Book 2 (eBook) (Est. 9/25/2014) 2015/1/3-1/26 p.93 Economic Forecasting*
      • SchweserNotes Book 1 (eBook) (Est. 10/3/2014) 2014/10/2-2015/1/3
      • Schweser's QuickSheet (eBook) (Est. 10/4/2014)
    • SchweserPro QBank (Online)
    • Schweser Study Calendar (PDF)
    • Errata (on Kaplan Schwer's website)
  • CFA Institute
    • CFA Institute Level III 2014
      • Vol. 1
        • 2014/9/*
      • Vol. 2
        • *
      • Vol. 3
        • *
      • Vol. 4
        • 2014/10/*
      • Vol. 5
        • *
      • Vol. 6
        • *
    • Errata
      • http://www.cfainstitute.org/programs/cfaprogram/courseofstudy/Pages/study_sessions.aspx
      • http://www.cfainstitute.org/Eratta/2015_level_III_errata.pdf
  • CFA Glossary
  • Schweser
    • Practice Exams
    • QuickSheet (2013)
      • 2015/*
    • Errata (on Kaplan Schwer's website)
  • CFA Institute
  • CFA Institute
    • Exam Date
      • 2015/6/6 (Sat)



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Sunday, June 15, 2014

The Financial Journal

To all readers of this blog,

Thank you very much for visiting and reading this blog.

I'm going to start a new blog for all financial industry professionals. I hope that the blog will be interactive,  intellectually stimulating, and open platform for all readers.

"The Financial Journal"
http://thefjg.blogspot.com
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Friday, June 6, 2014

2013 CFA Level III Exam - belongings

    In the night before the exam day
  • Admission Ticket
  • Map
  • ID(Passport)
  • Mechanical pencil
  • Eraser
  • Extra lead
  • Earplug
  • Eye mask (for lunch break)
  • Financial Calculator (TI BA II Plus Professional)
  • Battery (for the financial calculater)
  • Watch(G-SHOCK)
  • Mobile phone (with mobile Suica; electronic money/commuter pass in Japan)
  • Materials (notebook, Schweser's QuickSheet, etc.)
  • Handkerchief
  • Folding umbrella
    In the morning on the exam day
  • Lunch box
  • PET bottle (mineral water)
  • Snack (chocolate or something sugar-rich)
    Unnecessary
  • Wallet

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Sunday, October 13, 2013

2014 June CFA Level III - Study Plan & Results




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Tuesday, September 17, 2013

2014 June CFA Level III - Registration

Registered on the CFA Institute website.
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Wednesday, July 27, 2011

I passed the June 2011 Level II CFA exam!!


X

Dear X X,

Congratulations. I am very pleased to inform you that you passed the June 2011 Level II CFA exam. You are one step closer to achieving your goal of earning the globally respected CFA charter.

43% of candidates passed the June 2011 Level II CFA exam. Registration for the June 2012 Level III CFA exam will be available 27 July on the CFA Institute website. (Please note that you must have a valid international travel passport to register. Learn more about the candidate ID policy.)

Your detailed exam results, including a matrix outlining your strengths and weaknesses, are in the table below.

As you continue your educational journey with CFA Institute, please contact us if you have questions or comments about the CFA Program.

Again, congratulations on your achievement.

...

The three columns on the right are marked with asterisks to indicate your performance on each topic area.



Item Set
Q#TopicMax Pts<=50%51%-70%>70%
-Alternative Investments18--*
-Corporate Finance36-*-
-Derivatives36-*-
-Economics18--*
-Equity Investments72-*-
-Ethical & Professional Standards36-*-
-Financial Reporting & Analysis72-*-
-Fixed Income Investments36--*
-Portfolio Management18--*
-Quantitative Methods18-*-

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Sunday, June 5, 2011

2011 CFA Level 2

Now it's fnishished and I don't know how to express how glad I am. I have been under the really heavy pressure due to not only the exam itself, but also the feeling that I haven't been a good father nor husband. I have been studying almost all the weekends although I often drove a car to have a dinner with my family.

On top of that, we had a huge earthquake and tsunami; nuke plant crisis in Fukushima continues now. I and my family were temporarily relocated to Singapore in last March for a few weeks. I couldn't study during that time at all.

Additionally, I thought a CFA charter is a ticket to a new career; somewhere not in the asset management industry. (CFA is said to be a qualification mainly for buy-side, but I think it's also beneficial for investment banking and global markets.) I have been feeling stressed because my job was not intellectually stimulated and I could't even imagine that I am doing the same job in the long run. This situation requires me to pass the exam, and increases the importance of the exam. It was a stressful situation, indeed.

I somehow found a job in a boutique financial advisory firm; I was just lucky. The president just wanted to have someone who has an experience in derivatives pricing and risk analysis. Their business is so-called FAS, financial advisory service like BIG4 auditing firms' FAS subsidiary. They specializes in fair valuation of companies and financial products. It's part of an investment banking industry and I'm so excited to join the firm, although it's just abeginning and I need to prove myself. (By the way, I declined a top-tier global investment management firm's offer for a portfolio manager.)

I did a good job in the exam, but I cannot be sure until I get an official result. Anyway, I just finished two import "jobs" and it's time to do two more, most important jobs:(1)doing an excellent job in my new firm to have knowledge, experience, skills, and human network to survive in the financial industry, and (2)being a great father and husband for my family.
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Saturday, June 4, 2011

2011 CFA Level II Exam - belongings

    In the night before the exam day
  • Admission Ticket
  • Map
  • ID(Passport, Driver's license, etc.)
  • Mechanical pencil
  • Eraser
  • Extra lead
  • Earplug
  • Eye mask (for lunch break)
  • Financial Calculator (TI BA II Plus Professional)
  • Battery (for the financial calculater)
  • Watch(G-SHOCK)
  • Mobile phone (with mobile Suica; electronic money/commuter pass in Japan)
  • Materials (notebook, Schweser's QuickSheet, etc.)
  • Handkerchief
  • Folding umbrella
    In the morning on the exam day
  • Lunch box
  • PET bottle (mineral water)
  • Snack (chocolate or something sugar-rich)
    Unnecessary
  • Wallet
    Only for December exam
  • Underwear for cold protection
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Tuesday, February 15, 2011

Masters in Finance or Financial Engineering

Masters in Finance or Financial Engineering, Mathematics Finance
full or part time/weekendmonthsTOEFLGMAT/GRE(*1)(*2)(*3)(*4)Application feetuitionlink
Columbia (FE)full12YesGRE?????$49,320link
Columbia (MF)full/part12/?YesGMAT/GRE(*6)?????$38,614link
NYUfull/part18/?YesGRE??????link
CUNYfull/part18/?-GMAT/GRE?Yes?Yes??link
Princetonfull12-24YesGMAT/GREYesYesYes-$70$38,620link
CornellGRE
Carnegie Mellon
Harvard
MIT
12YesGMAT/GRE$100.00$72,000link
Chicagofull/part12/24-36)YesGRE$44,892
Stanfordfull10.5-15YesGREYesYesYesYes$0$60,000(*5)link
UC Berkeleyfull12YesGMAT/GRE--YesYes(2)$225$50,565link
UCLA
LBSfull/weekend10/22YesGMATYesYesYesYes?£33,100link
Cambridgefull12YesGMAT(*6)Yes?YesYes?£33,780 link
Oxfordfull?????????link
(*1) curriculum vitae
(*2) personal statement / essay
(*3) undergraduate/graduate transcripts
(*4) letters of recommendation / referees
(*5) including estimated living expenses

(*6) recommended/optional, but not required



Reference:
Quant Network Ranking of Financial Engineering Programs
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Wednesday, February 9, 2011

Moldex Camo

For businesspersons, it's important to use one's time resourcefully and focus on study given the limited time. I use earplugs to reduce noise.

Amazon.com




Amazon.co.uk
N/A

Amazon.co.jp




Rakuten (Japan)
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Thursday, January 27, 2011

Student Solutions Manual for Options, Futures, and Other Derivatives / John C. Hull

Amazon.com



Amazon.co.uk



Amazon.co.jp



Author's website
http://www.rotman.utoronto.ca/~hull/


Ordered on 2/2/2011 via Amazon.co.jp.
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Saturday, January 15, 2011

Black-Scholes Model

Black-Scholes Option Princing Model for dividend paying underlying assets VBA code (Premium only)


'// Author's blog:
'// Heart of the Finance
'// http://heartofthefinance.blogspot.com/
'//
'// Black-Scholes Option Princing Model for dividend paying underlying assets VBA code (Premium only)
'// version 1.0.0
'// Last update: 1/15/2011

Public Function BlackScholes(CallPutFlag As String, S As Double, K As Double, T As Double, r As Double, q As Double, v As Double) As Double

'S: spot price of an underlying asset
'K: strike price
'T: (T-t); time to maturity from today. i.e. T: time at maturity, t: today
'r: risk-free rate (annualized, continuous compounding)
'q: dividend yield (annualized, continuous compounding)
'v:volatility (standard deviation of return) of an underlying asset (annualized)


Dim d1 As Double, d2 As Double

d1 = (Log(S / K) + (r - q + v ^ 2 / 2) * T) / (v * Sqr(T))
d2 = d1 - v * Sqr(T)

If CallPutFlag = "c" Then

BlackScholes = Exp(-q * T) * S * CND(d1) - K * Exp(-r * T) * CND(d2)

ElseIf CallPutFlag = "p" Then

'BlackScholes = K * Exp(-r * T) * CND(-d2) - S * Exp(-q * T) * CND(-d1)
BlackScholes = K * Exp(-r * T) * (1 - CND(d2)) - S * Exp(-q * T) * (1 - CND(d1))

End If

End Function

'// The cumulative normal distribution function
Public Function CND(X As Double) As Double

Dim L As Double, K As Double
Const a1 = 0.31938153: Const a2 = -0.356563782: Const a3 = 1.781477937:
Const a4 = -1.821255978: Const a5 = 1.330274429

L = Abs(X)
K = 1 / (1 + 0.2316419 * L)
CND = 1 - 1 / Sqr(2 * Application.Pi()) * Exp(-L ^ 2 / 2) * (a1 * K + a2 * K ^ 2 + a3 * K ^ 3 + a4 * K ^ 4 + a5 * K ^ 5)

If X < 0 Then CND = 1 - CND End If End Function


Black-Scholes Option Princing Model for dividend paying underlying assets VBA code (Premium and Greeks)

'// Author's blog:
'// Heart of the Finance
'// http://heartofthefinance.blogspot.com/
'//
'// Black-Scholes Option Princing Model for dividend paying underlying assets VBA code (Premium and Greeks)
'// version 1.0.0
'// Last update: 1/15/2011

'****************************************************************************
'* Cumulative Standard Normal Distribution *
'* (This function provides similar result as NORMSDIST( ) on Excel) *
'****************************************************************************

Function SNorm(z)
c1 = 2.506628
c2 = 0.3193815
c3 = -0.3565638
c4 = 1.7814779
c5 = -1.821256
c6 = 1.3302744
If z > 0 Or z = 0 Then
w = 1
Else: w = -1
End If
y = 1 / (1 + 0.2316419 * w * z)
SNorm = 0.5 + w * (0.5 - (Exp(-z * z / 2) / c1) * _
(y * (c2 + y * (c3 + y * (c4 + y * (c5 + y * c6))))))

End Function

'**********************************************************************
'* Black-Scholes European Call Price Computation *
'**********************************************************************

Function Call_Eur(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

's: spot price of an underlying asset
'k: strike price
't: (T-t); time to maturity. i.e. T: maturity, t: current
'r: risk-free rate (annual rate, continuous compounding)
'q: dividend yield (annual rate, continuous compounding)
'sd:volatility (standard deviation of return) of an underlying asset

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Call_Eur = Exp(-q * t) * s * SNorm(d1) - k * Exp(-r * t) * SNorm(d2)

End Function

'*********************************************************************
'* Black-Scholes European Put Price Computation *
'*********************************************************************

Function Put_Eur(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

'Put-call parity
'Call_Eur_tmp = Exp(-q * t) * s * SNorm(d1) - k * Exp(-r * t) * SNorm(d2)
'Put_Eur = -s * Exp(-q * t) + Call_Eur_tmp + k * Exp(-r * t)

Put_Eur = k * Exp(-r * t) * (1 - SNorm(d2)) - s * Exp(-q * t) * (1 - SNorm(d1))

End Function


'**********************************************************************
'* Black-Scholes European Call Delta Computation *
'**********************************************************************

Function Call_Eur_Delta(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Call_Eur_Delta = Exp(-q * t) * SNorm(d1)

End Function

'*********************************************************************
'* Black-Scholes European Put Delta Computation *
'*********************************************************************

Function Put_Eur_Delta(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Put_Eur_Delta = -Exp(-q * t) * (1 - SNorm(d1))

End Function

'**********************************************************************
'* Black-Scholes European Call Gamma Computation *
'**********************************************************************

Function Call_Eur_Gamma(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Call_Eur_Gamma = Exp(-q * t) / (s * sd * t ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5

End Function

'**********************************************************************
'* Black-Scholes European Put Gamma Computation *
'**********************************************************************

Function Put_Eur_Gamma(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Put_Eur_Gamma = Exp(-q * t) / (s * sd * t ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5

End Function

'**********************************************************************
'* Black-Scholes European Call Vega Computation *
'**********************************************************************

Function Call_Eur_Vega(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Call_Eur_Vega = Exp(-q * t) * s * (t ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5

End Function

'**********************************************************************
'* Black-Scholes European Put Vega Computation *
'**********************************************************************

Function Put_Eur_Vega(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Put_Eur_Vega = Exp(-q * t) * s * (t ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5

End Function

'**********************************************************************
'* Black-Scholes European Call Theta Computation *
'**********************************************************************

Function Call_Eur_Theta(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Call_Eur_Theta = q * Exp(-q * t) * s * SNorm(d1) - Exp(-q * t) * s * sd / (2 * (t) ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5 - k * r * Exp(-r * t) * SNorm(d2)

End Function

'**********************************************************************
'* Black-Scholes European Put Theta Computation *
'**********************************************************************

Function Put_Eur_Theta(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Put_Eur_Theta = q * Exp(-q * t) * s * (-1) * SNorm(-d1) - Exp(-q * t) * s * sd / (2 * (t) ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5 + k * r * Exp(-r * t) * SNorm(-d2)

End Function


'**********************************************************************
'* Black-Scholes European Call Rho Computation *
'**********************************************************************

Function Call_Eur_Rho(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Call_Eur_Rho = k * t * Exp(-r * t) * SNorm(d2)

End Function


'**********************************************************************
'* Black-Scholes European Put Rho Computation *
'**********************************************************************

Function Put_Eur_Rho(s, k, t, r, q, sd)
Dim a As Single
Dim b As Single
Dim c As Single
Dim d1 As Single
Dim d2 As Single

a = Log(s / k)
b = (r - q + 0.5 * sd ^ 2) * t
c = sd * (t ^ 0.5)
d1 = (a + b) / c
d2 = d1 - sd * (t ^ 0.5)

Put_Eur_Rho = -k * t * Exp(-r * t) * SNorm(-d2)

End Function




Ref.
http://en.wikipedia.org/wiki/Black-Scholes
http://www.worldscibooks.com/etextbook/p556/p556_chap04.pdf
http://www.espenhaug.com/black_scholes.html
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Saturday, January 8, 2011

Options, Futures, and Other Derivatives [With CDROM]/ John C. Hull

Amazon.com


Amazon.co.uk


Amazon.co.jp


Author's website
http://www.rotman.utoronto.ca/~hull/


Ordered on 1/18/2011 via Amazon.co.uk.
Order cancelled on 1/27/2011 due to the delay of the release.
Ordered on 2/2/2011 via Amazon.co.jp.
Order cancelled due to the delay.
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Monday, January 3, 2011

THE QUANTS How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It - Scott Patterson

I was in a quants hedge fund's New York office in August 6, 2007. I have never been able to forget the experience there.

Both finance and economics are different from physics. Because they are related to monetary value and ultimately investors' emotions. Would the be possible for us to appropriately model the emotions? I don't think so. Emotions fluctuate like all atoms under the absolute non-zero temperature.

This is a great book to review what happened in the market and think about what should be done next.


Amazon.com (English version)



Amazon.co.uk (English version)



Amazon.co.jp (English version)



Amazon.co.jp (Japanese version)
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Sunday, January 2, 2011

Wordbook for TOEFL and GMAT

Finished today! This book is a famous wordbook for Japanese TOEFL&GMAT examinees.

Amazon.co.jp (Japanese)
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Tuesday, December 28, 2010

OTC derivatives valuation and risk advisory

OTC derivatives valuation and risk analysis advisory service as a third-party firm in a neutral position. Provides fairness opinions on derivatives proposed by investment banks.

Clients: Financial institutions like commercial banks as an investor.
Competitors: Investment banks as a structured products provider.
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Friday, December 17, 2010

The Concepts and Practice of Mathematical Finance 2nd Edition - Mark Joshi

This is a book recommended by RL, an ex-structurer at Société Générale, today. He said to me that this is the best book to understand derivatives from practical and theoretical point of view. I've just ordered it at Amazon.co.jp.

Amazon.com


Amazon.co.uk


Amazon.co.jp


Here is the link to the author's page:
http://www.markjoshi.com/
http://www.facebook.com/pages/Mark-Joshi/109959844817


12/19/2010
Arrived today.
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Saturday, December 4, 2010

[Schweser] CFA Level 2 2011 Practice Exams Volume 1 & 2

Arrived today.
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Wednesday, December 1, 2010

[Schweser] CFA Level 2 2011 Practice Exams Volume 1 & 2

Ordered today.

CFA Level 2 2011 Practice Exams Volume 1 In Stock
Quantity: 1
Item Price: $ 149.00USD
Total Price: $ 149.00USD
CFA Level 2 2011 Practice Exams Volume 2 In Stock
Quantity: 1
Item Price: $ 149.00USD
Total Price: $ 149.00USD
**Please check out our website at www.schweser.com/help for product availability.**
Subtotal: $ 298.00USD
Freight: $ 28.42USD
Applicable Tax: $ 0.00USD
-------------------------------
Total: $ 326.42USD
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Sunday, October 3, 2010

Tokyo as the best financial center in Asia Pacific

Japanese government should create a special district in Tokyo Bay area. This district's features are as follows:

Name: New Tokyo Special District
Public Language: English
Currency: Japanese Yen (since JPY is already a global currency)
Mayor: Independent mayor for this special district
Law and Regulations: Basically Japan's existing laws are applied to this area, but less restrict regulation for financial industry and import/export.
Corporate tax: Low and competitive compared to Singapore and Hong Kong

People who can take risk and want to live in international and free environment will come to this area. 
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