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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 /

This book consists of 18 papers presented at the KIER-TMU International Workshop on Financial Engineering 2009. These papers address state-of-the-art techniques in financial engineering, and they are selected through appropriate referees' evaluation followed by the editors' final decision...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores Corporativos: KIER-TMU International Workshop on Financial Engineering Tokyo, Japan, Kyōto Daigaku. Keizai Kenkyūjo, Shuto Daigaku Tōkyō. Shakai Kagaku Kenkyūka
Otros Autores: Kijima, Masaaki, 1957-
Formato: Electrónico Congresos, conferencias eBook
Idioma:Inglés
Publicado: Singapore ; Hackensack, NJ : World Scientific, 2010.
Temas:
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.