Computational Methods in Financial Engineering

Essays in Honour of Manfred Gilli

Häftad, Engelska, 2010

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Beskrivning

Computational models and methods are central to the analysis of economic and financial decisions. 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.

Produktinformation

Utgivningsdatum:2010-11-10
Mått:155 x 235 x 24 mm
Vikt:663 g
Format:Häftad
Språk:Engelska
Antal sidor:425
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783642096778

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Innehållsförteckning

Portfolio Optimization and Option Pricing.- Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization.- Risk Preferences and Loss Aversion in Portfolio Optimization.- Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR).- Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix.- Optimal Execution of Time-Constrained Portfolio Transactions.- Semidefinite Programming Approaches for Bounding Asian Option Prices.- The Evaluation of Discrete Barrier Options in a Path Integral Framework.- Estimation and Classification.- Robust Prediction of Beta.- Neural Network Modelling with Applications to Euro Exchange Rates.- Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration.- Classification Using Optimization: Application to Credit Ratings of Bonds.- Evolving Decision Rules to Discover Patterns in Financial Data Sets.- Banking, Risk and Macroeconomic Modelling.- A Banking Firm Model: 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.- Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems.- A Stochastic Monetary Policy Interest Rate Model.- Duali: Software for Solving Stochastic Control Problems in Economics.