Computational Methods in Financial Engineering

by Kontoghiorghes, Erricos John; Rustem, Berc; Winker, Peter

• ISBN13: 9783540779575
• ISBN10: 3540779574
• Format: Hardcover
• Copyright: 2008-04-07
• Publisher: Springer Verlag

Summary

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.

Table of Contents

Portfolio Optimization and Option Pricing
Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization	p. 3
Risk Preferences and Loss Aversion in Portfolio Optimization	p. 27
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)	p. 47
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix	p. 73
Optimal Execution of Time-Constrained Portfolio Transactions	p. 95
Semidefinite Programming Approaches for Bounding Asian Option Prices	p. 103
The Evaluation of Discrete Barrier Options in a Path Integral Framework	p. 117
Estimation and Classification
Robust Prediction of Beta	p. 147
Neural Network Modelling with Applications to Euro Exchange Rates	p. 163
Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration	p. 191
Classification Using Optimization: Application to Credit Ratings of Bonds	p. 211
Evolving Decision Rules to Discover Patterns in Financial Data Sets	p. 239
Banking, Risk and Macroeconomic Modelling
A Banking Firm Model: The Role of Market, Liquidity and Credit Risks	p. 259
Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions	p. 273
An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures	p. 299
Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems	p. 317
A Stochastic Monetary Policy Interest Rate Model	p. 343
Duali: Software for Solving Stochastic Control Problems in Economics	p. 393
Index	p. 421
Table of Contents provided by Blackwell. All Rights Reserved.