Computational Methods in Financial Engineering
Essays in Honour of Manfred Gilli
(Sprache: Englisch)
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.
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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.
Inhaltsverzeichnis zu „Computational Methods in Financial Engineering “
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.
Bibliographische Angaben
- 2010, Softcover reprint of hardcover 1st ed. 2008, XIV, 425 Seiten, Maße: 15,6 x 23,4 cm, Kartoniert (TB), Englisch
- Herausgegeben: Erricos Kontoghiorghes, Berc Rustem, Peter Winker
- Verlag: Springer, Berlin
- ISBN-10: 3642096778
- ISBN-13: 9783642096778
Sprache:
Englisch
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