Recent advances in financial engineering proceedings of the KIER-TMU International Workshop on Financial Engineering, 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 /
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 th...
| Corporate Authors: | , , , |
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| Other Authors: | |
| Format: | Electronic |
| Language: | English |
| Published: |
Singapore ; Hackensack, N.J. :
World Scientific Pub. Co.,
c2010.
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| Subjects: | |
| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://www.worldscientific.com/worldscibooks/10.1142/7700#t=toc |
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.