Recent Advances in Financial Engineering 2009: Proceedings of the KIER_TMU International Workshop on Financial Engineering 2009, Otemachi, Sankei Plaza, Tokyo 3-4 August 2009

by Kijima, Masaaki; Hara, Chiaki; Tanaka, Keiichi; Muromachi, Yukio

• ISBN13: 9789814299893
• ISBN10: 9814299898
• Format: Hardcover
• Copyright: 2010-06-10
• Publisher: Textstream

Summary

This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.

Table of Contents

Preface	p. v
Program	p. vii
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach	p. 1
Small-Sample Estimation of Models of Portfolio Credit Risk	p. 43
Heterogeneous Beliefs with Mortal Agents	p. 65
Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults	p. 91
Portfolio Efficiency Under Heterogeneous Beliefs	p. 127
Security Pricing with Information-Sensitive Discounting	p. 157
On Statistical Aspects in Calibrating a Geometric Skewed Stable Asset Price Model	p. 181
A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory and Its Application to Co-Volatility Matrices	p. 203
Quantile Hedging for Defaultable Claims	p. 219
New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme	p. 231
Can Financial Synergy Motivate M&A?	p. 253
Table of Contents provided by Ingram. All Rights Reserved.