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
Author(s): Daniel Kuhn, Panos Parpas, Berç Rustem (auth.), Prof. Erricos J. Kontoghiorghes, Prof. Berç Rustem, Prof. Peter Winker (eds.)
Edition: 1
Publisher: Springer-Verlag Berlin Heidelberg
Year: 2008
Language: English
Pages: 425
Tags: Finance /Banking; Quantitative Finance; Statistics for Business/Economics/Mathematical Finance/Insurance; Financial Economics
Front Matter....Pages I-XIV
Front Matter....Pages 1-1
Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization....Pages 3-26
Risk Preferences and Loss Aversion in Portfolio Optimization....Pages 27-45
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)....Pages 47-71
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix....Pages 73-94
Optimal Execution of Time-Constrained Portfolio Transactions....Pages 95-102
Semidefinite Programming Approaches for Bounding Asian Option Prices....Pages 103-116
The Evaluation of Discrete Barrier Options in a Path Integral Framework....Pages 117-144
Front Matter....Pages 145-145
Robust Prediction of Beta....Pages 147-161
Neural Network Modelling with Applications to Euro Exchange Rates....Pages 163-189
Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration....Pages 191-210
Classification Using Optimization: Application to Credit Ratings of Bonds....Pages 211-237
Evolving Decision Rules to Discover Patterns in Financial Data Sets....Pages 239-255
Front Matter....Pages 257-257
A Banking Firm Model: The Role of Market, Liquidity and Credit Risks....Pages 259-271
Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions....Pages 273-297
An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures....Pages 299-315
Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems....Pages 317-342
A Stochastic Monetary Policy Interest Rate Model....Pages 343-392
Duali: Software for Solving Stochastic Control Problems in Economics....Pages 393-419
Back Matter....Pages 421-425
