Computational Methods in Financial Engineering

Edited by Erricos Kontoghiorghes, Berç Rustem () and Peter Winker

in Springer Books from Springer

Date: 2008
ISBN: 978-3-540-77958-2
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Citations: View citations in EconPapers (26)

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Chapters in this book:

Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization

Daniel Kuhn, Panos Parpas and Berç Rustem

Risk Preferences and Loss Aversion in Portfolio Optimization

Dietmar Maringer

Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)

Amadeo Alentorn and Sheri Markose

Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix

Katja Specht and Peter Winker

Optimal Execution of Time-Constrained Portfolio Transactions

Farid AitSahlia, Yuan-Chyuan Sheu and Panos M. Pardalos

Semidefinite Programming Approaches for Bounding Asian Option Prices

Georgios V. Dalakouras, Roy H. Kwon and Panos M. Pardalos

The Evaluation of Discrete Barrier Options in a Path Integral Framework

Carl Chiarella, Nadima El-Hassan and Adam Kucera

Robust Prediction of Beta

Marc G. Genton and Elvezio Ronchetti

Neural Network Modelling with Applications to Euro Exchange Rates

Michele Rocca and Cira Perna

Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration

Jaya Krishnakumar and David Neto

Classification Using Optimization: Application to Credit Ratings of Bonds

Vladimir Bugera, Stan Uryasev and Grigory Zrazhevsky

Evolving Decision Rules to Discover Patterns in Financial Data Sets

Alma Lilia García-Almanza, Edward P. K. Tsang and Edgar Galván-López

A Banking Firm Model: The Role of Market, Liquidity and Credit Risks

Brenda González-Hermosillo and Jenny X. Li

Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions

Anna Nagurney and Qiang Qiang

An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures

Giulia Iori and Christophe Deissenberg

Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems

Andreas Mitschele, Frank Schlottmann and Detlef Seese

A Stochastic Monetary Policy Interest Rate Model

Claudio Albanese and Manlio Trovato

Duali: Software for Solving Stochastic Control Problems in Economics

David Kendrick, Marco P. Tucci and Hans Amman

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DOI: 10.1007/978-3-540-77958-2

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