Recent advances in financial engineering : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 / / editors, Masaaki Kijima ... [et al.].
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| Year of Publication: | 2010 |
| Language: | English |
| Online Access: | |
| Physical Description: | xi, 272 p. :; ill. |
| Notes: | "The workshop is the successor of the 'Daiwai International Workshop on Financial Engineering ' that was held in Tokyo every year since 2004 ..."--Pref. |
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Table of Contents:
- Risk sensitive investment management with affine processes : a viscosity approach / M. Davis and S. Lleo
- Small-sample estimation of models of portfolio credit risk / M.B. Gordy and E. Heitfield
- Heterogeneous beliefs with mortal agents / A.A. Brown and L.C.G. Rogers
- Counterparty risk on a CDS in a Markov chain copula model with joint defaults / S. Crepey, M. Jeanblanc and B. Zargari
- Portfolio efficiency under heterogeneous beliefs / X.-Z. He and L. Shi
- Security pricing with information-sensitive discounting / A. Macrina and P.A. Parbhoo
- On statistical aspects in calibrating a geometric skewed stable asset price model / H. Masuda
- A note on a statistical hypothesis testing for removing noise by the random matrix theory and its application to co-volatility matrices / T. Morimoto and K. Tachibana
- Quantile hedging for defaultable claims / Y. Nakano
- New unified computational algorithm in a high-order asymptotic expansion scheme / K. Takehara, A. Takahashi and M. Toda
- Can financial synergy motivate M&A? / Y. Tian, M. Nishihara and T. Shibata.