Computational finance 1999:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass. [u.a.]
MIT Press
2000
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 713 S. graph. Darst. |
| ISBN: | 0262011786 |
Internformat
MARC
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| 245 | 1 | 0 | |a Computational finance 1999 |c ed. by Yaser S. Abu-Mostafa ... |
| 246 | 1 | 3 | |a Computational finance nineteen hundred and ninety-nine |
| 264 | 1 | |a Cambridge, Mass. [u.a.] |b MIT Press |c 2000 | |
| 300 | |a XVIII, 713 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 650 | 7 | |a Bedrijfsfinanciering |2 gtt | |
| 650 | 7 | |a Dataprocessing |2 gtt | |
| 650 | 4 | |a Finance - Data processing | |
| 650 | 4 | |a Finance - Mathematical models | |
| 650 | 4 | |a Finances - Informatique - Congrès | |
| 650 | 4 | |a Finances - Modèles mathématiques - Congrès | |
| 650 | 7 | |a Finanças (modelos matemáticos) |2 larpcal | |
| 650 | 7 | |a Finanças (métodos estatísticos) |2 larpcal | |
| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 650 | 4 | |a Datenverarbeitung | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance |x Data processing |v Congresses | |
| 650 | 4 | |a Finance |x Mathematical models |v Congresses | |
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| 655 | 7 | |0 (DE-588)1071861417 |a Konferenzschrift |y 1999 |z New York, NY |2 gnd-content | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-009035058 | ||
Datensatz im Suchindex
| _version_ | 1804128018617073664 |
|---|---|
| adam_text | Contents
Preface xi
Contributors xjii
1 Introduction 1
Blake LeBaron
1 Risk Management and Portfolio Optimization 5
2 Importance Sampling and Stratification for Value at Risk 7
Paul Glasserman, Philip Heidelberger, and Perwez Shahabuddin
3 Confidence Intervals and Hypothesis Testing for the
Sharpe and Treynor Performance Measures:
A Bootstrap Approach 25
H. D. Vinod and Matthew R. Morey
4 Conditional Value at Risk 41
Dirk Ormoneit and Ralph Neuneier
5 Advances in Importance Sampling 53
Art Owen and Yi Zhou
6 Arbitrage and the APT—A Note 67
Manfred Steiner and Sebastian Schneider
7 Bayesian Network Models of Portfolio Risk and Return 87
Catherine Shenoy and Prakash P. Shenoy
II Volatility 107
8 Change of Measure in Monte Carlo Integration
via Gibbs Sampling with an Application to
Stochastic Volatility Models 109
Filippo Altissimo
vj Contents
9 Comparing Models of Intra day Seasonal Volatility
in the Foreign Exchange Market 125
Claudio Morana and Andrea Beltratti
10 A Symbolic Dynamics Approach to Volatility Prediction 137
Peter Tifio, Christian Schittenkopf, Georg Dorffner, and Engelbert
J. Dockner
11 Does Volatility Timing Matter? 153
Jeff Fleming, Chris Kirby, and Barbara Ostdiek
III Time Series Methods 171
12 Goodness of Fit, Stability and Data Mining 173
Juan del Hoyo and J. Guillermo Llorente
13 A Bayesian Approach to Estimating Mutual Fund Returns 189
Amir F. Atiya and Malik Magdon Ismail
14 Independent Component Ordering in ICA Analysis
of Financial Data 201
Zhi bin Lai, Yiu ming Cheung, and Lei Xu
15 Curved Gaussian Models with Application to Modeling
Foreign Exchange Rates 213
Juan K. Lin and Peter Dayan
16 Nonparametric Efficiency Testing of Asian
Foreign Exchange Markets 229
Cornells A. Los
17 Term Structure of Interactions of Foreign Exchange Rates 247
John Moody and Howard Yang
18 Exchange Rates and Fundamentals: Evidence from
Out of Sample Forecasting Using Neural Networks 267
Min Qi and Yangru Wu
Contents vji
IV Dynamic Trading Strategies 283
19 Trading Models as Specification Tools 285
Ramazan Gengay, Giuseppe Ballocchi, Michel Dacorogna, and
Olivier Pictet
20 Statistical Arbitrage Models of the FTSE 100 297
A. N. Burgess
21 Implementing Trading Strategies for Forecasting Models 313
N. Towers and A. N. Burgess
22 Using Nonlinear Neurogenetic Models with Profit Related
Objective Functions to Trade the US T bond Future 327
Zac Harland
23 Parameter Tuning in Trading Algorithms Using ASTA 343
Thomas Hellstrom and Kenneth Holmstrom
24 Hedge Funds Styles 359
David A. Hsieh
25 Optimization of Technical Trading Strategy Using Split
Search Genetic Algorithms 369
Raymond Tsang and Paul Lajbcygier
26 Trading Mutual Funds with Piece wise Constant Models 387
Michael de la Maza
27 Minimizing Downside Risk via Stochastic
Dynamic Programming 403
John Moody and Matthew Saffell
28 An Optimal Binary Predictor for an Investor
in a Futures Market 417
Dirk W. Rudolph
vjji Contents
29 An Introduction to Risk Neutral Forecasting 433
Spyros Skouras
30 Temporal Difference Learning and Applications
in Finance 447
Benjamin Van Roy
V Heterogeneous Agents 463
31 Technical Trading Creates a Prisoner s Dilemma:
Results from an Agent Based Model 465
Shareen Joshi, Jeffrey Parker, and Mark A. Bedau
32 Cycles of Market Stability and Instability Due to
Endogenous Use of Technical Trading Rules 481
David Goldbaum
33 Relative Performance of Incentive Mechanisms in
Delegated Investments: A Computational Study 495
T. S. Raghu, H. R. Rao, and P. K. Sen
VI Credit Risk 513
34 Rules Extractions from Banks Bankrupt Data Using
Connectionist and Symbolic Learning Algorithms 515
Edmar Martinelli, Andre de Carvalho, Solange Rezende, and Alberto
Matias
35 Evaluating Bank Lending Policy and Consumer
Credit Risk 535
Tor Jacobson and Kasper F. Roszbach
36 Loan Duration and Bank Lending Policy 549
Kasper F. Roszbach
Contents ix
VII Option Pricing 565
37 Estimation of Stochastic Volatility Models for the Purpose of Option
Pricing 567
Mikhail Chernov and Eric Ghysels
38 Option Pricing via Genetic Programming 583
N. K. Chidambaran, Chi Wen Jevons Lee, and Joaquin Ft. Trigueros
39 Nonparametric Testing of ARCH for Option Pricing 599
Peter Christoffersen and Jinyong Hahn
40 A Computational Framework for Contingent Claim
Pricing and Hedging under Time Dependent Asset
Processes 613
Les Clewlow and Russell Grimwood
41 A Framework for Comparative Analysis of Statistical
and Machine Learning Methods: An Application to the
Black Scholes Option Pricing Equation 635
J. Galindo Flores
42 Option Pricing with the Efficient Method of Moments 661
George J. Jiang and Pieter J. van der Sluis
43 Option Valuation with the Genetic Programming
Approach 689
Christian Keber
Contact Information 705
Keyword Index 709
|
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| discipline | Wirtschaftswissenschaften |
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| genre_facet | Konferenzschrift 1999 New York, NY |
| id | DE-604.BV013255034 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:42:34Z |
| institution | BVB |
| isbn | 0262011786 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009035058 |
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| physical | XVIII, 713 S. graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
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| publisher | MIT Press |
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| spelling | Computational finance 1999 ed. by Yaser S. Abu-Mostafa ... Computational finance nineteen hundred and ninety-nine Cambridge, Mass. [u.a.] MIT Press 2000 XVIII, 713 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bedrijfsfinanciering gtt Dataprocessing gtt Finance - Data processing Finance - Mathematical models Finances - Informatique - Congrès Finances - Modèles mathématiques - Congrès Finanças (modelos matemáticos) larpcal Finanças (métodos estatísticos) larpcal Wiskundige modellen gtt Datenverarbeitung Mathematisches Modell Finance Data processing Congresses Finance Mathematical models Congresses Datenverarbeitung (DE-588)4011152-0 gnd rswk-swf Finanzdienstleistung (DE-588)4212226-0 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 1999 New York, NY gnd-content Finanzdienstleistung (DE-588)4212226-0 s Datenverarbeitung (DE-588)4011152-0 s DE-604 Abu-Mostafa, Yaser S. Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009035058&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Computational finance 1999 Bedrijfsfinanciering gtt Dataprocessing gtt Finance - Data processing Finance - Mathematical models Finances - Informatique - Congrès Finances - Modèles mathématiques - Congrès Finanças (modelos matemáticos) larpcal Finanças (métodos estatísticos) larpcal Wiskundige modellen gtt Datenverarbeitung Mathematisches Modell Finance Data processing Congresses Finance Mathematical models Congresses Datenverarbeitung (DE-588)4011152-0 gnd Finanzdienstleistung (DE-588)4212226-0 gnd |
| subject_GND | (DE-588)4011152-0 (DE-588)4212226-0 (DE-588)1071861417 |
| title | Computational finance 1999 |
| title_alt | Computational finance nineteen hundred and ninety-nine |
| title_auth | Computational finance 1999 |
| title_exact_search | Computational finance 1999 |
| title_full | Computational finance 1999 ed. by Yaser S. Abu-Mostafa ... |
| title_fullStr | Computational finance 1999 ed. by Yaser S. Abu-Mostafa ... |
| title_full_unstemmed | Computational finance 1999 ed. by Yaser S. Abu-Mostafa ... |
| title_short | Computational finance 1999 |
| title_sort | computational finance 1999 |
| topic | Bedrijfsfinanciering gtt Dataprocessing gtt Finance - Data processing Finance - Mathematical models Finances - Informatique - Congrès Finances - Modèles mathématiques - Congrès Finanças (modelos matemáticos) larpcal Finanças (métodos estatísticos) larpcal Wiskundige modellen gtt Datenverarbeitung Mathematisches Modell Finance Data processing Congresses Finance Mathematical models Congresses Datenverarbeitung (DE-588)4011152-0 gnd Finanzdienstleistung (DE-588)4212226-0 gnd |
| topic_facet | Bedrijfsfinanciering Dataprocessing Finance - Data processing Finance - Mathematical models Finances - Informatique - Congrès Finances - Modèles mathématiques - Congrès Finanças (modelos matemáticos) Finanças (métodos estatísticos) Wiskundige modellen Datenverarbeitung Mathematisches Modell Finance Data processing Congresses Finance Mathematical models Congresses Finanzdienstleistung Konferenzschrift 1999 New York, NY |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009035058&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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