Computational Methods in Financial Engineering

Part I. Portfolio Optimization and Option Pricing

1. Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization
Daniel Kuhn, Panos Parpas, Berç Rustem

2. Risk Preferences and Loss Aversion in Portfolio Optimization
Dietmar Maringer

3. Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
Amadeo Alentorn, Sheri Markose

4. Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix
Katja Specht, Peter Winker

5. Optimal Execution of Time-Constrained Portfolio Transactions
Farid AitSahlia, Yuan-Chyuan Sheu, Panos M. Pardalos

6. Semidefinite Programming Approaches for Bounding Asian Option Prices
Georgios V. Dalakouras, Roy H. Kwon, Panos M. Pardalos

7. The Evaluation of Discrete Barrier Options in a Path Integral Framework
Carl Chiarella, Nadima El-Hassan, Adam Kucera

Part II. Estimation and Classification

8. Robust Prediction of Beta
Marc G. Genton, Elvezio Ronchetti

9. Neural Network Modelling with Applications to Euro Exchange Rates
Michele Rocca, Cira Perna

10. Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration
Jaya Krishnakumar, David Neto

11. Classification Using Optimization: Application to Credit Ratings of Bonds
Vladimir Bugera, Stan Uryasev, Grigory Zrazhevsky

12. Evolving Decision Rules to Discover Patterns in Financial Data Sets
Alma Lilia García-Almanza, Edward P. K. Tsang, Edgar Galván-López

Part III. Banking, Risk and Macroeconomic Modelling

13. A Banking Firm Model: The Role of Market, Liquidity and Credit Risks
Brenda González-Hermosillo, Jenny X. Li

14. Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions
Anna Nagurney, Qiang Qiang

15. An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures
Giulia Iori, Christophe Deissenberg

16. Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems
Andreas Mitschele, Frank Schlottmann, Detlef Seese

17. A Stochastic Monetary Policy Interest Rate Model
Claudio Albanese, Manlio Trovato

18. Duali: Software for Solving Stochastic Control Problems in Economics
David A. Kendrick, Marco P. Tucci, Hans M. Amman

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Nyckelord: BUSINESS & ECONOMICS / Management Science BUS042000