edited by Masaaki Kijima (Tokyo Metropolitan University, Japan), Chiaki Hara (Kyoto University, Japan), Keiichi Tanaka (Tokyo Metropolitan University, Japan), & Yukio Muromachi (Tokyo Metropolitan University, Japan)

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.

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.

• Risk-Sensitive Investment Management with Affine Processes: A Viscosity Approach (M Davis & S Lleo)
• Small-Sample Estimation of Models of Portfolio Credit Risk (M B Gordy & E Heitfield)
• Heterogeneous Beliefs with Mortal Agents (A A Brown & L C G Rogers)
• Counterparty Risk on a CDS in a CDS in a Markov Chain Copula Model with Joint Defaults (S Crépey et al.)
• Portfolio Efficiency Under Heterogeneous Beliefs (X-Z He & L Shi)
• Security Pricing with Information-Sensitive Discounting (A Macrina & 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 & K Tachibana)
• Quantile Hedging for Defaultable Claims (Y Nakano)
• New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme (K Takehara et al.)
• Can Financial Synergy Motivate M&A? (Y Tian et al.)