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Recent advances in financial engineering
KIER-TMU International Worksho ...

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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.].

Published 2010 by World Scientific in New Jersey .
Written in English.

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. Crépey, 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.

Edition Notes

"The workshop is the successor of the 'Daiwai International Workshop on Financial Engineering ' that was held in Tokyo every year since 2004..."--Pref.

Includes bibliographical references.

"Jointly organized by the Institute of Economics Research, Kyoto University (KIER) and the Graduate School of Social Sciences, Tokyo Metropolitan University (TMU)"--Pref.

Other Titles
Proceedings of the KIER-TMU International Workshop on Financial Engineering, 2009, 2009 recent advances in financial engineering


Dewey Decimal Class
Library of Congress
HG176.7 .K54 2009

The Physical Object

xi, 272 p. :
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July 30, 2014 Created by ImportBot import new book