Computational Finance and Its Applications II
In the last two years, several major events have characterised the international financial markets. The most significant one was certainly the explosion of the price of commodities, in particular of oil, which has recently reached a level of 74 dollars. Analysts are now divided on where the markets will go next. Some argue that growth will continue, while others are warning that we could be already in the middle of a new stock market bubble. Computational systems have become increasingly important in many financial applications, such as trading strategy, risk management, derivatives pricing, and many others. At the same time, traditional financial techniques have been constantly improved and developed as a result of the increased power of modern computer systems. Featuring papers from the Second International Conference on Computational Finance and its Applications, the text includes papers focussed on the following areas: Financial Service Technologies in the 21st century; Advanced Computing and Simulation; Derivatives Pricing; Forecasting, Advanced Computing and Simulation; Market Analysis, dynamics and Simulation; Portfolio Management and Asset Allocation; Risk Management; Time Series Analysis and Forecasting.
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2006 WIT Press agents algorithm analysis applications behaviour Black–Scholes bond calculated components computational finance computer science constraints costs coupon bond credit rating customer loyalty defined derivatives discrete distribution dynamics e-kiosk efficient equation estimation Figure filter function funds hedging herd behaviour Hurst exponent impact implementation implied volatility incentive fee increase industry information cascade integration Internet banking investment investors JLT model Journal linear logit matrix measure method ML logit Modelling and Simulation neurons objects observations on-line optimal option price order book outlier paper parameters penalized ML portal portfolio prediction Press WIT Transactions problem programming Pruning algorithm put option quadratic random risk sample spot market stochastic volatility stock market structure Table Theorem trading strategy Transactions on Modelling University variables vector Web services WIT Press WIT www.witpress.com XBRL