Recent Advances in Financial Engineering 2009

Edited by Masaaki Kijima, Chiaki Hara (), Keiichi Tanaka and Yukio Muromachi

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue.

Keywords: Financial Engineering; Mathematical Finance; Credit Risk; Real Options; Optimal Investment; Heterogeneous Beliefs (search for similar items in EconPapers)
Date: 2010
ISBN: 9789814299893
References: Add references at CitEc
Citations: View citations in EconPapers (2)

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Chapters in this book:

Ch 1 Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach , pp 1-41

Mark Davis and Sebastien Lleo

Ch 2 Small-Sample Estimation of Models of Portfolio Credit Risk , pp 43-63

Michael Gordy and Erik Heitfield

Ch 3 Heterogeneous Beliefs with Mortal Agents , pp 65-89

A. A. Brown and L. C. G. Rogers

Ch 4 Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults , pp 91-126

S. Crépey, M. Jeanblanc and B. Zargari

Ch 5 Portfolio Efficiency Under Heterogeneous Beliefs , pp 127-156

Xuezhong (Tony) He and Lei Shi

Ch 6 Security Pricing with Information-Sensitive Discounting , pp 157-180

Andrea Macrina and Priyanka A. Parbhoo

Ch 7 On Statistical Aspects in Calibrating a Geometric Skewed Stable Asset Price Model , pp 181-202

Hiroki Masuda

Ch 8 A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory and Its Application to Co-Volatility Matrices , pp 203-217

Takayuki Morimoto and Kanta Tachibana

Ch 9 Quantile Hedging for Defaultable Claims , pp 219-230

Yumiharu Nakano

Ch 10 New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme , pp 231-251

Kohta Takehara, Akihiko Takahashi and Masashi Toda

Ch 11 Can Financial Synergy Motivate M&A? , pp 253-272

Yuan Tian, Michi Nishihara and Takashi Shibata

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