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 -- InternationalWorkshop on Finance 2011 -- Program -- On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals L. P. Hughston and F. Mina -- References -- On Pricing Contingent Capital Notes D. B. Madan -- 1. Introduction -- 2....

This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented...

This paper studies numerical procedures for the Hull-White extended Vasicek model. The purpose of this paper is two- fold. The first is to elaborate the procedure of Hull and White (1994). We obtain the shift function directly from the initial term structure without any calculation on a tree....

We consider the general n-factor Heath, Jarrow, and Morton model (1992) and provide a sufficient condition on the volatility structure for the spot rate process to be Markovian with 2n state variables. The price of a discount bond is also Markovian with the same state variables and, hence,...