Computational Methods in Financial Engineering
Editor
- Erricos J. Kontoghiorghes(University of Cyprus)Berç Rustem(Imperial College London)Peter Winker(University of Gießen)
Abstract
No abstract is available for this item.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), 2008. "Computational Methods in Financial Engineering," Springer Books, Springer, number 978-3-540-77958-2, April.
Handle: RePEc:spr:sprbok:978-3-540-77958-2
DOI: 10.1007/978-3-540-77958-2
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Citations
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Cited by:
- Sheri Markose & Simone Giansante & Mateusz Gatkowski & Ali Rais Shaghaghi, 2010.
"Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks,"
Working Papers
033, COMISEF.
- Markose, Sheri M & Giansante, Simone & Gatkowski, Mateusz & Shaghaghi, Ali Rais, 2010. "Too Interconnected To Fail: Financial Contagion and Systemic Risk in Network Model of CDS and Other Credit Enhancement Obligations of US Banks," Economics Discussion Papers 3716, University of Essex, Department of Economics.
- Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon, 2021. "Stock market tail risk, tail risk premia, and return predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1569-1596, October.
- Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
- Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 529-550.
- Blueschke, D. & Blueschke-Nikolaeva, V. & Savin, I., 2013. "New insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 821-837.
- D. Blueschke & V. Blueschke-Nikolaeva & Ivan Savin, 2012. "New Insights Into Optimal Control of Nonlinear Dynamic Econometric Models: Application of a Heuristic Approach," Jena Economics Research Papers 2012-008, Friedrich-Schiller-University Jena.
- D. Kuhn, 2009. "Convergent Bounds for Stochastic Programs with Expected Value Constraints," Journal of Optimization Theory and Applications, Springer, vol. 141(3), pages 597-618, June.
- Roy Cerqueti, 2012. "Financing policies via stochastic control: a dynamic programming approach," Journal of Global Optimization, Springer, vol. 53(3), pages 539-561, July.
- Peter Winker & Marianna Lyra & Chris Sharpe, 2011. "Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model," Computational Management Science, Springer, vol. 8(1), pages 103-123, April.
- Peter Winker & Marianna Lyra & Chris Sharpe, 2008. "Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models," Working Papers 006, COMISEF.
- Fulga, Cristinca, 2016. "Portfolio optimization with disutility-based risk measure," European Journal of Operational Research, Elsevier, vol. 251(2), pages 541-553.
- Chen, Wei & Jiang, Manrui & Jiang, Cheng & Zhang, Jun, 2020. "Critical node detection problem for complex network in undirected weighted networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
- Wynand Smit & Gary van Vuuren and Paul Styger, 2011. "Economic capital for credit risk in the trading book," South African Journal of Economic and Management Sciences, University of Pretoria, Faculty of Economic and Management Sciences, vol. 14(2), pages 138-152, June.
- Jianping Li & Xiaoqian Zhu & Cheng-Few Lee & Dengsheng Wu & Jichuang Feng & Yong Shi, 2015. "On the aggregation of credit, market and operational risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 161-189, January.
- Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
- Muzzioli, Silvia, 2015. "The optimal corridor for implied volatility: From periods of calm to turmoil," Journal of Economics and Business, Elsevier, vol. 81(C), pages 77-94.
- Dehong Qiu & Hao Li & Yuan Li, 2014. "Identification of Active Valuable Nodes in Temporal Online Social Network with Attributes," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 839-864.
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Zura Kakushadze, 2014. "Path Integral and Asset Pricing," Papers 1410.1611, arXiv.org, revised Aug 2016.
- Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
- Alexandros Kostakis & Nikolaos Panigirtzoglou & George Skiadopoulos, 2011. "Market Timing with Option-Implied Distributions: A Forward-Looking Approach," Management Science, INFORMS, vol. 57(7), pages 1231-1249, July.
- Antonio Ruiz Porras, 2011. "ALM practices, multiple uncertainties and monopolistic behavior: a microeconomic study of banking decisions," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 8(2), pages 163-181, Julio-Dic.
- Pankaj Gupta & Mukesh Mehlawat & Garima Mittal, 2012. "Asset portfolio optimization using support vector machines and real-coded genetic algorithm," Journal of Global Optimization, Springer, vol. 53(2), pages 297-315, June.
- Chochola, Ondřej & Hušková, Marie & Prášková, Zuzana & Steinebach, Josef G., 2013. "Robust monitoring of CAPM portfolio betas," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 374-395.
Book Chapters
The following chapters of this book are listed in IDEAS- Daniel Kuhn & Panos Parpas & Berç Rustem, 2008. "Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 3-26, Springer.
- Dietmar Maringer, 2008. "Risk Preferences and Loss Aversion in Portfolio Optimization," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 27-45, Springer.
- Amadeo Alentorn & Sheri Markose, 2008. "Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 47-71, Springer.
- Katja Specht & Peter Winker, 2008. "Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 73-94, Springer.
- Farid AitSahlia & Yuan-Chyuan Sheu & Panos M. Pardalos, 2008. "Optimal Execution of Time-Constrained Portfolio Transactions," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 95-102, Springer.
- Georgios V. Dalakouras & Roy H. Kwon & Panos M. Pardalos, 2008. "Semidefinite Programming Approaches for Bounding Asian Option Prices," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 103-116, Springer.
- Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2008. "The Evaluation of Discrete Barrier Options in a Path Integral Framework," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 117-144, Springer.
- Marc G. Genton & Elvezio Ronchetti, 2008. "Robust Prediction of Beta," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 147-161, Springer.
- Michele Rocca & Cira Perna, 2008. "Neural Network Modelling with Applications to Euro Exchange Rates," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 163-189, Springer.
- Jaya Krishnakumar & David Neto, 2008. "Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 191-210, Springer.
- Vladimir Bugera & Stan Uryasev & Grigory Zrazhevsky, 2008. "Classification Using Optimization: Application to Credit Ratings of Bonds," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 211-237, Springer.
- Alma Lilia García-Almanza & Edward P. K. Tsang & Edgar Galván-López, 2008. "Evolving Decision Rules to Discover Patterns in Financial Data Sets," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 239-255, Springer.
- Brenda González-Hermosillo & Jenny X. Li, 2008. "A Banking Firm Model: The Role of Market, Liquidity and Credit Risks," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 259-271, Springer.
- Anna Nagurney & Qiang Qiang, 2008. "Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 273-297, Springer.
- Giulia Iori & Christophe Deissenberg, 2008. "An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 299-315, Springer.
- Andreas Mitschele & Frank Schlottmann & Detlef Seese, 2008. "Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 317-342, Springer.
- Claudio Albanese & Manlio Trovato, 2008. "A Stochastic Monetary Policy Interest Rate Model," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 343-392, Springer.
- David A. Kendrick & Marco P. Tucci & Hans M. Amman, 2008. "Duali: Software for Solving Stochastic Control Problems in Economics," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 393-419, Springer.
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