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Computational Methods in Financial Engineering

Essays in Honour of Manfred Gilli

  • Erricos J. Kontoghiorghes
  • Berç Rustem
  • Peter Winker

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Portfolio Optimization and Option Pricing

    1. Front Matter
      Pages 1-1
    2. Farid AitSahlia, Yuan-Chyuan Sheu, Panos M. Pardalos
      Pages 95-102
    3. Georgios V. Dalakouras, Roy H. Kwon, Panos M. Pardalos
      Pages 103-116
    4. Carl Chiarella, Nadima El-Hassan, Adam Kucera
      Pages 117-144
  3. Estimation and Classification

    1. Front Matter
      Pages 145-145
    2. Marc G. Genton, Elvezio Ronchetti
      Pages 147-161
    3. Michele La Rocca, Cira Perna
      Pages 163-189
    4. Vladimir Bugera, Stan Uryasev, Grigory Zrazhevsky
      Pages 211-237
    5. Alma Lilia García-Almanza, Edward P. K. Tsang, Edgar Galván-López
      Pages 239-255
  4. Banking, Risk and Macroeconomic Modelling

    1. Front Matter
      Pages 257-257
    2. Brenda González-Hermosillo, Jenny X. Li
      Pages 259-271
    3. Andreas Mitschele, Frank Schlottmann, Detlef Seese
      Pages 317-342
    4. Claudio Albanese, Manlio Trovato
      Pages 343-392
    5. David A. Kendrick, Marco P. Tucci, Hans M. Amman
      Pages 393-419
  5. Back Matter
    Pages 421-425

About this book

Introduction

Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools 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; 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.

"This book collects frontier work by researchers in computational economics in a tribute to Manfred Gilli, a leading member of this community. Contributions cover many of the topics researched by Gilli during his career: portfolio optimization and option pricing, estimation and classification, as well as banking, risk and macroeconomic modeling. The editors have put together a remarkable panorama of the rapidly growing and diversifying field of computational economics and finance."

Michel Juillard, Paris School of Economics and University Paris 8

Keywords

Euro Finance Financial Engineering Investment Modelling of Financial Networks Option Pricing Portfolio Optimization Risk Management Simulation calculus modeling optimization

Editors and affiliations

  • Erricos J. Kontoghiorghes
    • 1
  • Berç Rustem
    • 2
  • Peter Winker
    • 3
  1. 1.Department of Public and Business AdministrationUniversity of CyprusNicosiaCyprus
  2. 2.Department of ComputingImperial College LondonLondonUK
  3. 3.Department of EconomicsUniversity of GießenGießenGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-540-77958-2
  • Copyright Information Springer-Verlag Berlin Heidelberg 2008
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-540-77957-5
  • Online ISBN 978-3-540-77958-2
  • Buy this book on publisher's site