Computational Methods in Financial Engineering: Essays in Honour of Manfred Gilli

ISBN-13: 9783642096778 / Angielski / Miękka / 2010 / 425 str.

Erricos Kontoghiorghes;Berc Rustem;Peter Winker

Opis

This book examines computational methods and analytical models in financial engineering that rely on computation. It features the work of leading researchers in portfolio optimization and option pricing; banking; risk and macroeconomic modeling.

Spis treści

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

Blurb

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