Computational Finance and its Applications III

, by Costantino, M.; Larran, M.; Brebbia, C. A.

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ISBN: 9781845641115 | 1845641116
Cover: Hardcover
Copyright: 5/27/2008

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Forecasting, advanced dynamics and simulation
Control systems identification in finance and economics	p. 3
Multifractal analysis and multiagent simulation for market crash prediction	p. 13
Fast and flexible libor model pricing: two-stage Monte Carlo and on-the-fly payoff processing	p. 23
Novel pruning based hierarchical agglomerative clustering for mining outliers in financial time series	p. 33
Feasible estimation of the long term interest rate dynamics by nonlinear techniques	p. 43
Derivatives pricing
Derivative pricing as a business grid application using NextGRID technology	p. 53
Valuation of swing options with supplier flexibility - switching and recall features: a methodology note	p. 63
A neural network approach to option pricing	p. 71
A Green's function-based iterative approach to the pricing of American options	p. 87
Portfolio management and asset allocation
Hedge fund portfolio selection with modified expected shortfall	p. 99
Portfolio rankings with skewness and kurtosis	p. 109
Active portfolios: diversification across trading strategies	p. 119
Discovery of multi-component portfolio strategies with continuous tuning to the changing market micro-regimes using input-dependent boosting	p. 127
Market analysis, dynamics and simulation
Day-of-the-week effect in some of the Gulf Cooperation Council (GCC) stock markets	p. 149
Looking for short term signals in stock market data	p. 157
Risk management
Modeling spark spread option and power plant evaluation	p. 179
Computation and asymptotic properties of estimated coherent risk measures	p. 175
An empirical investigation of the short-term relationship between interest rate risk and credit risk	p. 185
Value at risk, outliers and chaotic dynamics	p. 197
Numerical modelling of operational risks for the banking industry	p. 207
Conditional Value-at-Risk under ellipsoidal uncertainties	p. 217
Author Index	p. 227
Table of Contents provided by Blackwell. All Rights Reserved.

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Computational Finance and its Applications III

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