Recent Advances in Financial Engineering

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World Scientific, 2010 - Business & Economics - 284 pages
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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 in order to make this book a high-quality one. The KIER-TMU International Workshop on Financial Engineering was held for the first time in 2009. Prof. Kijima (the Chair of this workshop) and his colleagues held the Daiwa International Workshop on Financial Engineering in Tokyo from 2004-2008. Each year, various kinds of interesting and high-quality studies are presented by many researchers from various countries, from both academia and the industry. Accordingly, this workshop serves as a bridge between academic researchers on financial engineering and practitioners. In 2009, the Institute of Economic Research, Kyoto University (KIER) and Tokyo Metropolitan University (TMU) held a new international workshop, the KIER-TMU International Workshop on Financial Engineering, which is regarded as a successor to the Daiwa International Workshop.

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A Viscosity Approach M Davis and S Lleo
SmallSample 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 XZ He and L Shi
Security Pricing with InformationSensitive 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 CoVolatility Matrices Morimoto...
Quantile Hedging for Defaultable Claims Y Nakano
New Unified Computational Algorithm in a HighOrder Asymptotic Expansion Scheme K Takehara A Takahashi and M Toda
Can Financial Synergy Motivate MA? Y Tian M Nishihara and T Shibata

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