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Handbook of Financial Engineering

  • Book
  • © 2008

Overview

Editors:
  1. Constantin Zopounidis

    1. Department of Production Engineering and Management, Financial Engineering Laboratory Technical University of Crete, University Campus, Chania, Greece

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  2. Michael Doumpos

    1. Department of Production Engineering and Management, Financial Engineering Laboratory Technical University of Crete, University Campus, Chania, Greece

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  3. Panos M. Pardalos

    1. Department of Industrial and Systems Engineering, University of Florida, Gainesville, USA

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  • A comprehensive handbook including self-contained chapters
  • Emphasis on the operational tools that can be used for decision making
  • Chapters written by distinguished contributors in the financial engineering field
  • Special focus on methodologies that can be used to address financial engineering problems, i.e., statistical and econometric approaches, multiple criteria decision making, and fuzzy sets

Part of the book series: Springer Optimization and Its Applications (SOIA, volume 18)

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Table of contents (15 chapters)

  1. Front Matter

    Pages I-XVII
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  2. Portfolio Management and Trading

    1. Portfolio Selection in the Presence of Multiple Criteria

      • Ralph E. Steuer, Yue Qi, Markus Hirschberger
      Pages 3-24

    2. Applications of Integer Programming to Financial Optimization

      • Hiroshi Konno, Rei Yamamoto
      Pages 25-48

    3. Computing Mean/Downside Risk Frontiers: The Role of Ellipticity

      • Antony D. Hall, Steve E. Satchell
      Pages 49-66

    4. Exchange Traded Funds: History, Trading, and Research

      • Laurent Deville
      Pages 67-98

    5. Genetic Programming and Financial Trading: How Much About "What We Know"

      • Shu-Heng Chen, Tzu-Wen Kuo, Kong-Mui Hoi
      Pages 99-154

  3. Risk Management

    1. Interest Rate Models: A Review

      • Christos Ioannidis, Rong Hui Miao, Julian M. Williams
      Pages 157-200

    2. Engineering a Generalized Neural Network Mapping of Volatility Spillovers in European Government Bond Markets

      • Gordon H. Dash Jr., Nina Kajiji
      Pages 201-230

    3. Estimating Parameters in a Pricing Model with State-Dependent Shocks

      • Leonard MacLean, Yonggan Zhao, Giorgio Consigli, William Ziemba
      Pages 231-244

    4. Controlling Currency Risk with Options or Forwards

      • Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios
      Pages 245-278

  4. Operations Research Methods in Financial Engineering

    1. Asset Liability Management Techniques

      • Kyriaki Kosmidou, Constantin Zopounidis
      Pages 281-300

    2. Advanced Operations Research Techniques in Capital Budgeting

      • Pierre L. Kunsch
      Pages 301-342

    3. Financial Networks

      • Anna Nagurney
      Pages 343-382

  5. Mergers, Acquisitions, and Credit Risk Ratings

    1. The Choice of the Payment Method in Mergers and Acquisitions

      • Alain Chevalier, Etienne Redor
      Pages 385-430

    2. An Application of Support Vector Machines in the Prediction of Acquisition Targets: Evidence from the EU Banking Sector

      • Fotios Pasiouras, Chrysovalantis Gaganis, Sailesh Tanna, Constantin Zopounidis
      Pages 431-456

    3. Credit Rating Systems: Regulatory Framework and Comparative Evaluation of Existing Methods

      • Dimitris Papageorgiou, Michael Doumpos, Constantin Zopounidis, Panos M. Pardalos
      Pages 457-488

  6. Back Matter

    Pages 489-491
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Keywords

About this book

Over the past decade the financial and business environments have undergone significant changes. During the same period several advances have been made within the field of financial engineering, involving both the methodological tools as well as the application areas.

This comprehensive edited volume discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems.

This book is divided into four major parts, each covering different aspects of financial engineering and modeling such as portfolio management and trading, risk management, applications of operation research methods, and credit rating models.

Handbook of Financial Engineering is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Reviews

From the reviews:

"Handbook of Financial Engineering is a collection of papers from various areas of the field including Portfolio Management and Trading, Risk Management, Operations Research Methods in Financial Engineering, and Mergers, Acquisitions and Credit Risk Ratings. The papers are in narrative form, discussing the main current issues in the selected areas. … Discussions are at the introductory level, which should seem very inviting to students and readers who are new to the field and need an overview of the methods currently used." (Ita Cirovic Donev, The Mathematical Association of America, September, 2008)

Editors and Affiliations

  • Department of Production Engineering and Management, Financial Engineering Laboratory Technical University of Crete, University Campus, Chania, Greece

    Constantin Zopounidis, Michael Doumpos

  • Department of Industrial and Systems Engineering, University of Florida, Gainesville, USA

    Panos M. Pardalos

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