標(biāo)題: Titlebook: Computational Methods in Financial Engineering; Essays in Honour of Erricos J. Kontoghiorghes,Ber? Rustem,Peter Winker Book 2008 Springer- [打印本頁(yè)] 作者: Hermit 時(shí)間: 2025-3-21 17:34
書(shū)目名稱(chēng)Computational Methods in Financial Engineering影響因子(影響力)
書(shū)目名稱(chēng)Computational Methods in Financial Engineering影響因子(影響力)學(xué)科排名
書(shū)目名稱(chēng)Computational Methods in Financial Engineering網(wǎng)絡(luò)公開(kāi)度
書(shū)目名稱(chēng)Computational Methods in Financial Engineering網(wǎng)絡(luò)公開(kāi)度學(xué)科排名
書(shū)目名稱(chēng)Computational Methods in Financial Engineering被引頻次
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書(shū)目名稱(chēng)Computational Methods in Financial Engineering讀者反饋
書(shū)目名稱(chēng)Computational Methods in Financial Engineering讀者反饋學(xué)科排名
作者: A保存的 時(shí)間: 2025-3-21 23:59
Risk Preferences and Loss Aversion in Portfolio Optimizationtors’ preferences are commonly assumed to follow a quadratic or power utility function, and asset returns are often assumed to follow a Gaussian distribution. Investment analysis has therefore long been focusing on the first two moments of the distribution, mean and variance. However, empirical asse作者: HALO 時(shí)間: 2025-3-22 04:25
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, Extreme Economic Value at Risk (EE-VaR) based on the Generalized Extreme Value (GEV) distribution has been proposed as a new risk measure. This follows from a GEV option pricing model dev作者: 粗語(yǔ) 時(shí)間: 2025-3-22 07:58
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Meliable estimations are difficult to perform and using the VaR as a constraint in portfolio optimization causes computational problems. Both problems are taken into account in the present application. First, the VaR based on estimates of the conditional covariance matrix with the ”P(pán)rincipal Componen作者: Ingrained 時(shí)間: 2025-3-22 10:45
Optimal Execution of Time-Constrained Portfolio Transactionsoblem is solved approximately through a succession of quadratic programs. The ensuing strategies are then tested on real data. The model extends a recent one by accounting for liquidity differences between stocks.作者: invert 時(shí)間: 2025-3-22 14:45
Semidefinite Programming Approaches for Bounding Asian Option Pricesing the moments of the distribution of prices is developed which enables the method of Bertsimas and Popescu to be extended for the case of the Asian option. In particular, several SDP formulations for upper and lower bounds of the price of an Asian option are given based on different representation作者: invert 時(shí)間: 2025-3-22 17:38
The Evaluation of Discrete Barrier Options in a Path Integral Frameworks. A path integral approach to the evaluation of barrier options is developed. This leads to a backward recursion functional equation linking the pricing functions at successive barrier points. This functional equation is solved by expanding the pricing functions in Fourier-Hermite series. The backw作者: Obsessed 時(shí)間: 2025-3-23 00:46 作者: 避開(kāi) 時(shí)間: 2025-3-23 01:52 作者: 噴油井 時(shí)間: 2025-3-23 07:55
Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegrationerest rates and uncovered interest rate parity (UIRP) for U.S. and Swiss rates. Tests for no cointegration, for the number of cointegrating relations and for the presence of threshold effects are discussed within the framework of this TVECM with more than one cointegrating relationship, allowing for作者: Spirometry 時(shí)間: 2025-3-23 12:33
Classification Using Optimization: Application to Credit Ratings of Bondsf bonds. The classification problem is formulated as minimization of a penalty constructed with quadratic separating functions. The optimization is reduced to a linear programming problem for finding optimal coefficients of the separating functions. Various model constraints are considered to adjust作者: Outshine 時(shí)間: 2025-3-23 14:25 作者: explicit 時(shí)間: 2025-3-23 18:02
Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic rice, transaction flow, revenue, and demand information in the context of the decisionmakers’ behavior in multitiered financial networks that also allow for electronic transactions. The measure is then utilized to define the importance of a financial network component, that is, a node or a link, or 作者: 土產(chǎn) 時(shí)間: 2025-3-23 23:14 作者: TIGER 時(shí)間: 2025-3-24 06:17 作者: Genetics 時(shí)間: 2025-3-24 06:40
Robust Prediction of Betaome shrinking of the robust estimators toward OLS is necessary to reduce the mean squared error. The performance of the proposed shrinkage robust estimator is shown by means of a small simulation study and on a real data set.作者: Indecisive 時(shí)間: 2025-3-24 11:11 作者: Fresco 時(shí)間: 2025-3-24 15:25
Book 2008; 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.作者: 絕種 時(shí)間: 2025-3-24 23:00
n 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.978-3-642-09677-8978-3-540-77958-2作者: 婚姻生活 時(shí)間: 2025-3-25 01:23 作者: neologism 時(shí)間: 2025-3-25 05:06 作者: Nutrient 時(shí)間: 2025-3-25 08:43 作者: 解凍 時(shí)間: 2025-3-25 14:02 作者: AWE 時(shí)間: 2025-3-25 17:57
An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecturesdifferent market conditions. Under both architectures, settlement failures are non-monotonically related to the length of the settlement cycle. There is no evidence that continuous time settlement provides always higher stability. Gross systems appear to be more stable than net systems.作者: jocular 時(shí)間: 2025-3-25 20:37
0.5 References for Introduction, Area Under the ROC (AUC) have been used to measure the performance of ECR. Following from this analysis, the results obtained by our approach have been compared with those one found by standard Genetic Programming (GP), EDDIE-ARB and C.5, which show that our approach can be effectively used in data sets with rare positive instances.作者: aphasia 時(shí)間: 2025-3-26 04:10 作者: 性別 時(shí)間: 2025-3-26 07:56
Book 2008 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作者: 蒙太奇 時(shí)間: 2025-3-26 11:04 作者: 慷慨援助 時(shí)間: 2025-3-26 15:06
0.5 References for Introduction,ome shrinking of the robust estimators toward OLS is necessary to reduce the mean squared error. The performance of the proposed shrinkage robust estimator is shown by means of a small simulation study and on a real data set.作者: GREG 時(shí)間: 2025-3-26 17:26 作者: Grasping 時(shí)間: 2025-3-26 23:44 作者: Arthropathy 時(shí)間: 2025-3-27 01:43 作者: Exuberance 時(shí)間: 2025-3-27 08:47
0.5 References for Introduction,he sense that their removal will impact the performance of the network in the most significant way. Hence, the results have relevance to national security as well as implications for the insurance industry.作者: Chauvinistic 時(shí)間: 2025-3-27 10:10
Risk Preferences and Loss Aversion in Portfolio Optimization of a heuristic optimization approach is suggested. It is found that loss aversion has a substantial impact on what investors consider to be an efficient portfolio and that mean-variance analysis alone can be utterly misguiding.作者: Gobble 時(shí)間: 2025-3-27 16:59
Classification Using Optimization: Application to Credit Ratings of Bondseral advantages including simplicity in implementation and classification robustness. The algorithm can be applied to small and large datasets. Although the approach was validated with a finance application, it is quite general and can be applied in other engineering areas.作者: BRUNT 時(shí)間: 2025-3-27 20:48 作者: PRE 時(shí)間: 2025-3-28 00:52
nuous time. In order to make the model computationally tractable, it is discretized in time and space. This approximation scheme is designed in such a way that the optimal values of the approximate problems yield bounds on the optimal value of the original problem. The convergence of the bounds is d作者: Ballerina 時(shí)間: 2025-3-28 03:22 作者: 凝視 時(shí)間: 2025-3-28 08:18 作者: 懲罰 時(shí)間: 2025-3-28 12:35
0.5 References for Introduction,eliable estimations are difficult to perform and using the VaR as a constraint in portfolio optimization causes computational problems. Both problems are taken into account in the present application. First, the VaR based on estimates of the conditional covariance matrix with the ”P(pán)rincipal Componen作者: 懶惰民族 時(shí)間: 2025-3-28 17:03
0.5 References for Introduction,oblem is solved approximately through a succession of quadratic programs. The ensuing strategies are then tested on real data. The model extends a recent one by accounting for liquidity differences between stocks.作者: 使顯得不重要 時(shí)間: 2025-3-28 21:31 作者: 注意力集中 時(shí)間: 2025-3-29 02:04
0.5 References for Introduction,s. A path integral approach to the evaluation of barrier options is developed. This leads to a backward recursion functional equation linking the pricing functions at successive barrier points. This functional equation is solved by expanding the pricing functions in Fourier-Hermite series. The backw作者: 癡呆 時(shí)間: 2025-3-29 03:03
0.5 References for Introduction,S). To cope with the high sensitivity of OLS to outlying observations and to deviations from the normality assumptions, several methods suggest to use robust estimators. It is argued that, from a predictive point of view, the simple use of either OLS or robust estimators is not sufficient but that s作者: 讓步 時(shí)間: 2025-3-29 08:35
0.5 References for Introduction,k of established procedures for misspecification testing and tests of statistical significance for the various estimated parameters. These issues are particularly important in the case of financial engineering where data generating processes are very complex and dominantly stochastic. After a brief 作者: Antecedent 時(shí)間: 2025-3-29 12:26 作者: CIS 時(shí)間: 2025-3-29 15:38 作者: Lucubrate 時(shí)間: 2025-3-29 22:45
0.5 References for Introduction,assify in extreme imbalanced environments. This is particularly useful in financial forecasting given that very often the number of profitable chances is scarce. The proposed approach offers a range of solutions to suit the investor’s risk guidelines and so, the user could choose the best trade-off 作者: licence 時(shí)間: 2025-3-30 03:48 作者: JIBE 時(shí)間: 2025-3-30 06:18 作者: 整頓 時(shí)間: 2025-3-30 08:14 作者: 舊式步槍 時(shí)間: 2025-3-30 15:41 作者: Myelin 時(shí)間: 2025-3-30 16:38 作者: 危險(xiǎn) 時(shí)間: 2025-3-30 21:30 作者: 黃油沒(méi)有 時(shí)間: 2025-3-31 04:18
Optimal Execution of Time-Constrained Portfolio Transactionsoblem is solved approximately through a succession of quadratic programs. The ensuing strategies are then tested on real data. The model extends a recent one by accounting for liquidity differences between stocks.作者: 針葉 時(shí)間: 2025-3-31 06:27 作者: chuckle 時(shí)間: 2025-3-31 12:41
ow that EE-VaR has fewer violations than historical VaR. Further, there are substantial savings in risk capital with EE-VaR at 99% as compared to historical VaR corrected by a factor of 3 to satisfy the violation bound. The efficiency of EE-VaR arises because an implied VaR estimate responds quickly作者: 委屈 時(shí)間: 2025-3-31 16:42 作者: 英寸 時(shí)間: 2025-3-31 19:07 作者: WAIL 時(shí)間: 2025-3-31 23:24 作者: APO 時(shí)間: 2025-4-1 03:45
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)ow that EE-VaR has fewer violations than historical VaR. Further, there are substantial savings in risk capital with EE-VaR at 99% as compared to historical VaR corrected by a factor of 3 to satisfy the violation bound. The efficiency of EE-VaR arises because an implied VaR estimate responds quickly作者: Indicative 時(shí)間: 2025-4-1 09:05
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Madvantage in modelling is exploited by the optimization algorithm to identify portfolios with higher expected return given a fixed VaR constraint. However, adjusting the portfolio to the dynamic approximations of the conditional volatility structure also results in some overconfidence with regard to
