Computational Methods in Financial Engineering: Essays in Honour of Manfred Gilli (Google eBook)

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Springer Science & Business Media, Feb 26, 2008 - Business & Economics - 439 pages
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Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.
  

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Contents

Threshold Accepting Approach to Improve Boundbased Approximations for Portfolio Optimization
3
Risk Preferences and Loss Aversion in Portfolio Optimization
27
Generalized Extreme Value Distribution and Extreme Economic Value at Risk EEVaR
46
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the VarianceCovariance Matrix
73
Optimal Execution of TimeConstrained Portfolio Transactions
95
Semidefinite Programming Approaches for Bounding Asian Option Prices
103
The Evaluation of Discrete Barrier Options in a Path Integral Framework
117
Estimation and Classification
145
Application to Credit Ratings of Bonds
211
Evolving Decision Rules to Discover Patterns in Financial Data Sets
239
Banking Risk and Macroeconomic Modelling
256
The Role of Market Liquidity and Credit Risks
259
Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions
272
An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures
299
Risk Aggregation and Allocation Using Intelligent Systems
316
A Stochastic Monetary Policy Interest Rate Model
343

Robust Prediction of Beta
146
Neural Network Modelling with Applications to Euro Exchange Rates
163
Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration
190
Software for Solving Stochastic Control Problems in Economics
393
Index
421
Copyright

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Page xiv - Department of Computer Science, University of Essex, Wivenhoe Park, Colchester, CO4 3SQ, England.
Page 340 - Deb K., Agrawal S., Pratap A. and Meyarivan, T. (2000). A Fast Elitist Non-dominated sorting genetic algorithm for multi-objective optimization: NSGA-II.
Page 294 - Christofides, N., Hewins, RD, and, Salkin, GR (1979), "Graph Theoretic Approaches to Foreign Exchange Operations," Journal of Financial and Quantitative Analysis 14, 481-500.
Page 294 - A network model of insurance company cash flow management", Mathematical Programming Study 15, 86-101.

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