Description
Book SynopsisThis 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.These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one. This volume will be of interest to academics, practitioners, and graduate students in the field of quantitative finance and financial engineering.
Table of ContentsJump-Diffusion Risk-Sensitive Asset Management (M Davis & S Lleo); Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models (M Gordy & S Willemann); Optimal and Robust Contracts for a Risk-constrained Principal (C Rogers); Heterogeneous Beliefs and Representative Consumer (C Hara); Quantile Hedging for Defaultable Claims (Y Nakano); Surrender Risk and Default Risk of Insurance Companies (H Nakagawa & O Le Coutois); Looping Default Model with Multiple Obligors (Y Taniguchi); Counterparty Credit Risk (S Crepey et al.); Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication (K Yamamoto & A Takahashi); Financial Synergy in M&A (Y Tian et al.); An Optimal Investment Policy in Equity-Debt Financed Firms with Finite Maturities (K Yagi et al.); Boundedly Rational Equilibrium and Risk Premium (X-Z He & L Shi); A Game Options Approach to the Investment Problem with Convertible Debt Financing (M Egami); Optimal Stopping Problem with Uncertain Stopping and Its Application to Discrete Options (K Ano); Information-sensitive Pricing Kernels (A Macrina & L Hughston); Computation in an Asymptotic Expansion Method (K Takehara et al.); Explicit Estimators of a Skewed Stable Model Based on High-frequency Data (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 & K Tachibana);
