Recent Advances in Financial Engineering 2009 : Proceedings of the KIER-TMU International Workshop on Financial Engineering

Intro -- CONTENTS -- Preface -- Program -- Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach M. Davis and S. Lleo -- Keywords: -- 1. Introduction -- 2. Analytical Setting -- 2.1 Overview -- 2.2 Factor Dynamics -- 2.3 Asset Market Dynamics -- 2.4 Portfolio Dynamics -- 3. Problem Setup -- 3.1 Optimization Criterion -- 3.2 Change of Measure -- 3.3 The HJB Equation -- 4. Properties of the Value Function -- 4.1 "Zero Beta" Policies -- 4.2 Convexity -- 4.3 Boundedness -- 4.4 Growth -- 5. Viscosity Solution Approach -- 5.1 Definitions -- 5.2 Characterization of the Value Function as a Viscosity Solution -- 6. Comparison Result -- 6.1 Uniqueness -- 7. Conclusion -- References -- Small-Sample Estimation of Models of Portfolio Credit Risk M. B. Gordy and E. Heitfield -- Keywords: -- 1. Introduction -- 2. A Structural Default Model -- 3. Moment and Maximum Likelihood Estimators -- 4. Monte Carlo Simulations -- 5. Bias in Method of Moments -- Conclusion -- Appendices -- References -- Heterogeneous Beliefs with Mortal Agents A. A. Brown and L. C. G. Rogers -- 1. Introduction -- 1.1 Literature Review -- 2. The Model -- 2.1 The Dividend Process -- 2.2 The Agents -- 2.3 Deriving the State Price Density -- 2.4 A Continuum of Agents -- 3. Asset Prices -- 3.1 The Interest Rate Process -- 3.2 The Stock Price -- 3.2.1 A PDE for the stock price -- 3.2.2 Calculation of stock price via computation of conditional expectation -- 3.2.3 Solving the ODEs -- 3.3 The Bond Price -- 3.4 Remarks on the Case in which a is Known -- 4. Numerical Results -- 4.1 Comments on Results -- 5. Conclusions -- Appendices. Stochastic Integrals -- References -- Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults S. Crepey, M. Jeanblanc and B. Zargari -- Keywords: -- 1. Introduction -- 1.1 Counterparty Credit Risk.