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...

<i>Recent Advances in Financial Engineering 2012</i> is the Proceedings of the International Workshop on Finance 2012, which was held at the University of Tokyo on October 30 and 31, 2012. This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics,...

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...