Recent advances in financial engineering 2009 : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009
著者
書誌事項
Recent advances in financial engineering 2009 : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009
World Scientific, c2010
- タイトル別名
-
Recent advances in financial engineering
Recent advances in financial engineering : 2009
Proceedings of the KIER-TMU International Workshop on Financial Engineering, 2009
2009 recent advances in financial engineering
大学図書館所蔵 全10件
注記
"Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009"
"The workshop is the successor of 'Daiwa International Workshop on Financial Engineering ' that was held in Tokyo every year since 2004..."--Pref
"Jointly organized by the Institute of Economic Research, Kyoto University (KIER) and the Graduate School of Social Sciences, Tokyo Metropolitan University (TMU)"--Pref
Includes bibliographical references
内容説明・目次
内容説明
目次
- Jump-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)
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