Advances in Computational Management Science

Decision Technologies for Computational Finance

Proceedings of the fifth International Conference Computational Finance

Editors: Refenes, Apostolos-Paul N., Burgess, Andrew N., Moody, John E. (Eds.)

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About this book

This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of meetings has emerged as a truly multi-disciplinary international conference and provided an international focus for innovative research on the application of a multiplicity of advanced decision technologies to many areas of financial engineering. It has drawn upon theoretical advances in financial economics and robust methodological developments in the statistical, econometric and computer sciences. To reflect its multi-disciplinary nature, the NNCM conference has adopted the new title COMPUTATIONAL FINANCE. The papers in this volume are organised in six parts. Market Dynamics and Risk, Trading and Arbitrage strategies, Volatility and Options, Term-Structure and Factor models, Corporate Distress Models and Advances on Methodology. This years' acceptance rate (38%) reflects both the increasing interest in the conference and the Programme Committee's efforts to improve the quality of the meeting year-on-year. I would like to thank the members of the programme committee for their efforts in refereeing the papers. I also would like to thank the members of the computational finance group at London Business School and particularly Neil Burgess, Peter Bolland, Yves Bentz, and Nevil Towers for organising the meeting.

Table of contents (39 chapters)

  • Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

    Diebold, Francis X. (et al.)

    Pages 3-12

  • Stability Analysis and Forecasting Implications

    Hoyo, J. (et al.)

    Pages 13-24

  • Time Varying Risk Premia

    Steiner, M. (et al.)

    Pages 25-48

  • A Data Matrix to Investigate Independence, Overreaction and/or Shock Persistence in Financial Data

    Dacco’, R. (et al.)

    Pages 49-60

  • Forecasting High Frequency Exchange Rates Using Cross-Bicorrelations

    Brooks, Chris (et al.)

    Pages 61-72

Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-1-4615-5625-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $289.00
price for USA
  • ISBN 978-0-7923-8308-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $119.00
price for USA
  • ISBN 978-0-7923-8309-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Decision Technologies for Computational Finance
Book Subtitle
Proceedings of the fifth International Conference Computational Finance
Editors
  • Apostolos-Paul N. Refenes
  • Andrew N. Burgess
  • John E. Moody
Series Title
Advances in Computational Management Science
Series Volume
2
Copyright
1998
Publisher
Springer US
Copyright Holder
Springer Science+Business Media Dordrecht
eBook ISBN
978-1-4615-5625-1
DOI
10.1007/978-1-4615-5625-1
Hardcover ISBN
978-0-7923-8308-6
Softcover ISBN
978-0-7923-8309-3
Series ISSN
1388-4301
Edition Number
1
Number of Pages
XI, 479
Topics