Recent Advances in Financial Engineering 2009
Editor
- Masaaki Kijima(Tokyo Metropolitan University, Japan)Chiaki Hara(Kyoto University, Japan)Keiichi Tanaka(Tokyo Metropolitan University, Japan)Yukio Muromachi(Tokyo Metropolitan University, Japan)
Abstract This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), 2010. "Recent Advances in Financial Engineering 2009," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7700, December.
Handle: RePEc:wsi:wsbook:7700Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
Book Chapters
The following chapters of this book are listed in IDEAS- Mark Davis & Sébastien Lleo, 2010. "Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 1, pages 1-41, World Scientific Publishing Co. Pte. Ltd..
- Michael B. Gordy & Erik Heitfield, 2010. "Small-Sample Estimation of Models of Portfolio Credit Risk," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 2, pages 43-63, World Scientific Publishing Co. Pte. Ltd..
- A. A. Brown & L. C. G. Rogers, 2010. "Heterogeneous Beliefs with Mortal Agents," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 3, pages 65-89, World Scientific Publishing Co. Pte. Ltd..
- S. Crépey & M. Jeanblanc & B. Zargari, 2010. "Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 4, pages 91-126, World Scientific Publishing Co. Pte. Ltd..
- Xue-Zhong He & Lei Shi, 2010. "Portfolio Efficiency Under Heterogeneous Beliefs," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 5, pages 127-156, World Scientific Publishing Co. Pte. Ltd..
- Andrea Macrina & Priyanka A. Parbhoo, 2010. "Security Pricing with Information-Sensitive Discounting," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 6, pages 157-180, World Scientific Publishing Co. Pte. Ltd..
- Hiroki Masuda, 2010. "On Statistical Aspects in Calibrating a Geometric Skewed Stable Asset Price Model," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 7, pages 181-202, World Scientific Publishing Co. Pte. Ltd..
- Takayuki Morimoto & Kanta Tachibana, 2010. "A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory and Its Application to Co-Volatility Matrices," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 8, pages 203-217, World Scientific Publishing Co. Pte. Ltd..
- Yumiharu Nakano, 2010. "Quantile Hedging for Defaultable Claims," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 9, pages 219-230, World Scientific Publishing Co. Pte. Ltd..
- Kohta Takehara & Akihiko Takahashi & Masashi Toda, 2010. "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 10, pages 231-251, World Scientific Publishing Co. Pte. Ltd..
- Yuan Tian & Michi Nishihara & Takashi Shibata, 2010. "Can Financial Synergy Motivate M&A?," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 11, pages 253-272, World Scientific Publishing Co. Pte. Ltd..
More about this item
Keywords
Financial Engineering; Mathematical Finance; Credit Risk; Real Options; Optimal Investment; Heterogeneous Beliefs;
All these keywords.Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wsbook:7700. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.