Computational Methods in Financial Engineering

1. Front Matter

   Pages I-XIV

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2. Portfolio Optimization and Option Pricing

   1. Front Matter

      Pages 1-1

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

      • Daniel Kuhn, Panos Parpas, Berç Rustem

      Pages 3-26

   3. Risk Preferences and Loss Aversion in Portfolio Optimization

      • Dietmar Maringer

      Pages 27-45

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

      • Amadeo Alentorn, Sheri Markose

      Pages 47-71

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

      • Katja Specht, Peter Winker

      Pages 73-94

   6. Optimal Execution of Time-Constrained Portfolio Transactions

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

      Pages 95-102

   7. Semidefinite Programming Approaches for Bounding Asian Option Prices

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

      Pages 103-116

   8. The Evaluation of Discrete Barrier Options in a Path Integral Framework

      • Carl Chiarella, Nadima El-Hassan, Adam Kucera

      Pages 117-144

3. Estimation and Classification

   1. Front Matter

      Pages 145-145

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   2. Robust Prediction of Beta

      • Marc G. Genton, Elvezio Ronchetti

      Pages 147-161

   3. Neural Network Modelling with Applications to Euro Exchange Rates

      • Michele La Rocca, Cira Perna

      Pages 163-189

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

      • Jaya Krishnakumar, David Neto

      Pages 191-210

   5. Classification Using Optimization: Application to Credit Ratings of Bonds

      • Vladimir Bugera, Stan Uryasev, Grigory Zrazhevsky

      Pages 211-237

   6. Evolving Decision Rules to Discover Patterns in Financial Data Sets

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

      Pages 239-255

4. Banking, Risk and Macroeconomic Modelling

   1. Front Matter

      Pages 257-257

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

      • Brenda González-Hermosillo, Jenny X. Li

      Pages 259-271

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

      • Anna Nagurney, Qiang Qiang

      Pages 273-297

   4. An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures

      • Giulia Iori, Christophe Deissenberg

      Pages 299-315

   5. Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems

      • Andreas Mitschele, Frank Schlottmann, Detlef Seese

      Pages 317-342

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.

• Euro
• Finance
• Financial Engineering
• Investment
• Modelling of Financial Networks
• Option Pricing
• Portfolio Optimization
• Risk Management
• Simulation
• calculus
• modeling
• optimization
• quantitative finance

• Department of Public and Business Administration, University of Cyprus, Nicosia, Cyprus

  Erricos J. Kontoghiorghes

• Department of Computing, Imperial College London, London, UK

  Berç Rustem

• Department of Economics, University of Gießen, Gießen, Germany

  Peter Winker

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