Computational finance and its applications
著者
書誌事項
Computational finance and its applications
WIT, c2004
- タイトル別名
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Computational finance & its applications
注記
"This book contain the edited version of the papers presented at the first International Conference on Computational Finance and its Applications, held in Bologna in 2004" -- Pref
内容説明・目次
内容説明
Intelligent computational systems have become increasingly important in many financial applications while traditional techniques are constantly being improved and developed as a result of the power of modern computer systems. Reflecting the considerable interest and ever-increasing amount of development work going on in the field, this book features most of the contributions presented at the First International Conference on Computational Finance and Its Applications. It will be invaluable to both professionals and academics involved with financial modelling and engineering, and computational intelligence in finance. The papers included focus on current advances within the following areas: Trading Strategies; Risk Management; Credit Risk; Derivatives Pricing; Advanced Computing and Simulation; Expert Systems and Decision Support; Time Series Analysis and Forecasting; and High Frequency Financial Data.
目次
- Section 1: Trading strategies Do size and sector classification matter for long-short strategies?
- Predicting stock market indices movements
- A mixed distribution approach to copula models of portfolio returns
- Artificial agents and speculative bubbles Section 2: Risk management Using options theory to identify the optimal dispatch strategy for electricity producers in a deregulated environment
- Financial credit risk measurement prediction using innovative soft-computing techniques
- The relevance of basis risk in the weather derivatives market Section 3: Credit risk Global sensitivity analysis of credit risk portfolios
- Pricing corporate bonds, CDS and options on CDS with the BMC model
- On revision of the option-based approach to modeling mortgage securities Section 4: Derivatives pricing A hybrid approach to valuing American barrier and Parisian options
- Different estimators of the underlying asset's volatility and option pricing errors: parallel Monte-Carlo simulation
- A statistical deterministic implied volatility model
- Pricing of options in emerging financial markets using Martingale simulation: an example from Turkey Section 5: Advanced computing and simulation A distributed Laplace transform algorithm for European options
- Inferring model parameters in markets with collars
- Optimal quasi-Monte Carlo valuation of derivative securities Section 6: Expert systems and decision support Optimal control strategies for portfolios of managed futures
- A micro-analysis-system of a commercial bank based on a value chain Section 7: Time series analysis and forecasting Improved time series prediction using evolutionary algorithms for the generation of feedback connections in neural networks
- Price trends in speculative markets, do they exist? A case study
- Seasonal asymmetric persistence in volatility: an extension of GARCH models
- Visual recurrence analysis as an alternative framework for time series characterisation
- Pattern recognition through perceptually important points in financial time series
- Parametric inference for stochastic differential equations by path integration Section 8: High frequency financial data Point and figure charting: computational issues and multi-box reversal probabilities
- Self-similarity and multifractality in financial asset returns
- Non-linear logit models for high frequency currency exchange data
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