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Computational Methods in Financial Engineering

Essays in Honour of Manfred Gilli

Editors: Kontoghiorghes, Erricos, Rustem, Berc, Winker, Peter (Eds.)

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eBook $129.00
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  • ISBN 978-3-540-77958-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $169.99
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Softcover $169.99
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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.

"This book collects frontier work by researchers in computational economics in a tribute to Manfred Gilli, a leading member of this community. Contributions cover many of the topics researched by Gilli during his career: portfolio optimization and option pricing, estimation and classification, as well as banking, risk and macroeconomic modeling. The editors have put together a remarkable panorama of the rapidly growing and diversifying field of computational economics and finance."

Michel Juillard, Paris School of Economics and University Paris 8

Table of contents (18 chapters)

Table of contents (18 chapters)
  • Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization

    Pages 3-26

    Kuhn, Daniel (et al.)

  • Risk Preferences and Loss Aversion in Portfolio Optimization

    Pages 27-45

    Maringer, Dietmar

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

    Pages 47-71

    Alentorn, Amadeo (et al.)

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

    Pages 73-94

    Specht, Katja (et al.)

  • Optimal Execution of Time-Constrained Portfolio Transactions

    Pages 95-102

    AitSahlia, Farid (et al.)

Buy this book

eBook $129.00
price for USA in USD
  • ISBN 978-3-540-77958-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $169.99
price for USA in USD
Softcover $169.99
price for USA in USD
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Bibliographic Information

Bibliographic Information
Book Title
Computational Methods in Financial Engineering
Book Subtitle
Essays in Honour of Manfred Gilli
Editors
  • Erricos Kontoghiorghes
  • Berc Rustem
  • Peter Winker
Copyright
2008
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-77958-2
DOI
10.1007/978-3-540-77958-2
Hardcover ISBN
978-3-540-77957-5
Softcover ISBN
978-3-642-09677-8
Edition Number
1
Number of Pages
XIV, 425
Number of Illustrations
88 b/w illustrations
Topics

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