Computational Methods in Financial Engineering: Essays in Honour of Manfred Gilli (Google eBook)
Springer Science & Business Media, Feb 26, 2008 - Business & Economics - 439 pages
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.
What people are saying - Write a review
We haven't found any reviews in the usual places.
Risk Preferences and Loss Aversion in Portfolio Optimization
Generalized Extreme Value Distribution and Extreme Economic Value at Risk EEVaR
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the VarianceCovariance Matrix
Optimal Execution of TimeConstrained Portfolio Transactions
Semideﬁnite Programming Approaches for Bounding Asian Option Prices
The Evaluation of Discrete Barrier Options in a Path Integral Framework
Estimation and Classiﬁcation
Application to Credit Ratings of Bonds
Evolving Decision Rules to Discover Patterns in Financial Data Sets
Banking Risk and Macroeconomic Modelling
The Role of Market Liquidity and Credit Risks
Identiﬁcation of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions
An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures
Risk Aggregation and Allocation Using Intelligent Systems
A Stochastic Monetary Policy Interest Rate Model
algorithm application approach approximation Asian option asset bank barrier options classification cointegration computational conditional confidence level considered constraints covariance covariance matrix data set default defined demand markets denoted discrete distribution drift regime Duali dynamic Econometrics Economics EE-VaR equation error evaluate extreme value theory financial network framework GARCH given heuristic horizon implied implied volatility in-sample interest rate interest rate parity intermediaries investors Journal kurtosis lattice LIBOR linear local volatility loss aversion Maringer market risk Markov chain matrix maturity method Monte Carlo Nagurney network performance neural network optimization problem option prices out-of-sample parameter portfolio optimization random range accrual risk management risk measure robust estimators scenario tree separating functions settlement simulation solution solved source agent statistics stochastic programs stocks swaption Table term structure threshold accepting tion trade utility function variable vector volatility zero
Page xiv - Department of Computer Science, University of Essex, Wivenhoe Park, Colchester, CO4 3SQ, England.
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.