Skip to main content
SpringerLink
Log in
Book cover

Computational Methods in Financial Engineering

Essays in Honour of Manfred Gilli

  • Book
  • © 2008

Overview

Editors:
  1. Erricos J. Kontoghiorghes

    1. Department of Public and Business Administration, University of Cyprus, Nicosia, Cyprus

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  2. Berç Rustem

    1. Department of Computing, Imperial College London, London, UK

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  3. Peter Winker

    1. Department of Economics, University of Gießen, Gießen, Germany

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (18 chapters)

  1. Front Matter

    Pages I-XIV
    Download chapter PDF

  2. Portfolio Optimization and Option Pricing

    1. Front Matter

      Pages 1-1
      Download chapter PDF

    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
      Download chapter PDF

    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
      Download chapter PDF

    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
Back to top

Keywords

About this book

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.

Editors and Affiliations

  • 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

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation