Recent advances in financial engineering
Subtitle: proceedings of the KIER-TMU International Workshop on Financial Engineering, 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009
By: editors, Masaaki Kijima ... [et al.].
Contributors: Kijima, Masaaki, 1957-; Kyōto Daigaku. Keizai Kenkyūjo; Shuto Daigaku Tōkyō. Graduate School of Social Sciences
Publisher: World Scientific
Published: 2010
Place of publication: New Jersey
Language: eng
Number of pages: 272
ISBN-13: 9789814299893
Subjects: Congresses; Financial engineering
Other titles: Proceedings of the KIER-TMU International Workshop on Financial Engineering, 2009; 2009 recent advances in financial engineering
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.
Table of contents: title: Risk sensitive investment management with affine processes : a viscosity approach / M. Davis and S. Lleo; title: Small-sample estimation of models of portfolio credit risk / M.B. Gordy and E. Heitfield; title: Heterogeneous beliefs with mortal agents / A.A. Brown and L.C.G. Rogers; title: Counterparty risk on a CDS in a Markov chain copula model with joint defaults / S. Crépey, M. Jeanblanc and B. Zargari; title: Portfolio efficiency under heterogeneous beliefs / X.-Z. He and L. Shi; title: Security pricing with information-sensitive discounting / A. Macrina and P.A. Parbhoo; title: On statistical aspects in calibrating a geometric skewed stable asset price model / H. Masuda; title: 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; title: Quantile hedging for defaultable claims / Y. Nakano; title: New unified computational algorithm in a high-order asymptotic expansion scheme / K. Takehara, A. Takahashi and M. Toda; title: Can financial synergy motivate M&A? / Y. Tian, M. Nishihara and T. Shibata.