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Record Nr. |
UNINA9910780884903321 |
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Titolo |
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.] |
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Pubbl/distr/stampa |
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Singapore ; ; Hackensack, N.J., : World Scientific, 2010 |
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ISBN |
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1-283-14442-5 |
9786613144423 |
981-4304-07-7 |
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Descrizione fisica |
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1 online resource (284 p.) |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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"The workshop is the successor of the 'Daiwai International Workshop on Financial Engineering ' that was held in Tokyo every year since 2004 ..."--Pref. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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. |
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Sommario/riassunto |
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This book consists of 18 papers presented at the KIER-TMU International Workshop on Financial Engineering 2009. These papers |
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