Recent advances in financial engineering [electronic resource] : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009 : Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009 / editors, Masaaki Kijima ... [et al.].
Publication details: Singapore ; Hackensack, N.J. : World Scientific, 2010.Description: xi, 272 p. : illISBN:- 9814299898
- 9789814299893
- 9789814304078 (e-book)
- Proceedings of the KIER-TMU International Workshop on Financial Engineering, 2009
- 2009 recent advances in financial engineering
- 332 22
- HG176.7 .K54 2009eb
eBooks
"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.
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. Cr�epey, 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.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.