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Computational finance 1999

Computational finance 1999

자료유형
단행본
개인저자
Abu-Mostafa, Yaser S., 1957-.
서명 / 저자사항
Computational finance 1999 / edited by Yaser S. Abu-Mostafa ... [et al.].
발행사항
Cambridge, Mass. :   MIT Press,   c2000.  
형태사항
xviii, 713 p. : ill. ; 23 cm.
ISBN
0262011786 (hc. : alk. paper) 026251107X (pbk. : alk. paper)
서지주기
Includes bibliographical references and index.
일반주제명
Finance -- Data processing -- Congresses. Finance -- Mathematical models -- Congresses.
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010 ▼a 99030172
020 ▼a 0262011786 (hc. : alk. paper)
020 ▼a 026251107X (pbk. : alk. paper)
035 ▼a (KERIS)REF000004972984
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HG174 ▼b .C64 2000
082 0 0 ▼a 332/.0285 ▼2 22
084 ▼a 332.0285 ▼2 DDCK
090 ▼a 332.0285 ▼b C738
245 0 0 ▼a Computational finance 1999 / ▼c edited by Yaser S. Abu-Mostafa ... [et al.].
246 3 ▼a Computational finance nineteen ninety nine
260 ▼a Cambridge, Mass. : ▼b MIT Press, ▼c c2000.
300 ▼a xviii, 713 p. : ▼b ill. ; ▼c 23 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Finance ▼x Data processing ▼v Congresses.
650 0 ▼a Finance ▼x Mathematical models ▼v Congresses.
700 1 ▼a Abu-Mostafa, Yaser S., ▼d 1957-.
945 ▼a KLPA

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.0285 C738 등록번호 111652898 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차


CONTENTS

Preface = xi

Contributors = xiii

1 Introduction / Blake LeBaron = 1

Ⅰ Risk Management and Portfolio Optimization = 5

 2 Importance Sampling and Stratification for Value-at-Risk / Paul Glasserman ; Philip Heidelberger ; Perwez Shahabuddin = 7

 3 Confidence Intervals and Hypothesis Testing for the Sharpe and Theynor Performance Measures : A Bootstrap Approach / H. D. Vinod ; Matthew R. Morey = 25

 4 Conditional Value at Risk / Dirk Ormoneit ; Ralph Neuneier = 41

 5 Advances in Importance Sampling / Art Owen ; Yi Zhou = 53

 6 Arbitrage and the APT-A Note / Manfred Steiner ; Sebastian Schneider = 67

 7 Bayesian Network Models of Portfolio Risk and Return / Catherine Shenoy ; Prakash P. Shenoy = 87

Ⅱ Volatility = 107

 8 Change of Measure in Monte Carlo Integration via Gibbs Sampling with an Application to Stochastic Volatility Models / FiliDDo Altissimo = 109

 9 Comparing Models of Intra-day Seasonal Volatility in the Foreign Exchange Market / Claudio Morana ; Andrea Beltratti = 125

 10 A Symbolic Dynamics Approach to Volatility Prediction / Peter Ti$$\check n$$o ; Christian Schittenkopf ; Georg Dorffner ; Engelbert J. Dockner = 137

 11 Does Volatility Timing Matter? / Jeff Fleming ; Chris Kirby ; Barbara Ostdiek = 153

Ⅲ Time Series Methods = 171

 12 Goodness of Fit, Stability and Data Mining / Juan del Hoyo ; J.-Guillermo Llorente = 173

 13 A Bayesian Approach to Estimating Mutual Fund Returns / Amir F. Atiya ; Malik Magdon-Ismail = 189

 14 Independent Component Ordering in ICA Analysis of Financial Data / Zhi-bin Lai ; Yiu-ming Cheung ; Lei Xu = 201

 15 Curved Gaussian Models with Application to Modeling Foreign Exchange Rates / Juan K. Lin ; Peter Dayan = 213

 16 Nonparametric Efficiency Testing of Asian Foreign Exchange Markets / Cornelis A. Los = 229

 17 Term Structure of Interactions of Foreign Exchange Rates / John Moody ; Howard Yang = 247

 18 Exchange Rates and Fundamentals : Evidence from Out-of-Sample Forecasting Using Neural Networks / Mm Qi ; Yangru Wu = 267

Ⅳ Dynamic Trading Strategies = 283

 19 Trading Models as Specification Tools / Ramazan Gencay ; Giuseppe Balloechi ; Michel Dacorogna ; Olivier Pictet = 285

 20 Statistical Arbitrage Models of the FTSE 100 / A. N. Burgess = 297

 21 Implementing Trading Strategies for Forecasting Models / N. Towers ; A. N. Burgess = 313

 22 Using Nonlinear Neurogenetic Models with Profit Related Objective Functions to Trade the US T-bond Future / Zac Harland = 327

 23 Parameter Tuning in Trading Algorithms Using ASTA / Thomas Hellstr$$\ddot o$$m ; Kenneth Holmstr$$\ddot o$$m = 343

 24 Hedge Funds Styles / David A. Hsieh = 359

 25 Optimization of Technical Trading Strategy Using Split Search Genetic Algorithms / Raymond Tsang ; Paul Lajbcygier = 369

 26 Trading Mutual Funds with Piece-wise Constant Models / Michael de la Maza = 387

 27 Minimizing Downside Risk via Stochastic Dynamic Programming / John Moody ; Matthew Saffell = 403

 28 An Optimal Binary Predictor for an Investor in a Futures Market / Dirk W. Rudolph = 417

 29 An Introduction to Risk Neutral Forecasting / Spyros Skouras = 433

 30 Temporal-Difference Learning and Applications in Finance / Benjamin Van Roy = 447

Ⅴ Heterogeneous Agents = 463

 31 Technical Trading Creates a Prisoner's Dilemma : Results from an Agent-Based Model / Shareen Joshi ; Jeffrey Parker ; Mark A. Bedau = 465

 32 Cycles of Market Stability and Instability Due to Endogenous Use of Technical Trading Rules / David Goldbaum = 481

 33 Relative Performance of Incentive Mechanisms in Delegated Investments : A Computational Study / T. S. Raghu ; H. R. Rao ; P. K. Sen = 495

Ⅵ Credit Risk = 513

 34 Rules Extractions from Banks' Bankrupt Data Using Connectionist and Symbolic Learning Algorithms / Edmar Martinelli ; Andr$$e'$$ de Carvalho ; Solange Rezende ; Alberto Matias = 515

 35 Evaluating Bank Lending Policy and Consumer Credit Risk / Tor Jacobson ; Kasper F. Roszbach = 535

 36 Loan Duration and Bank Lending Policy / Kasper F. Roszbach = 549

Ⅶ Option Pricing = 565

 37 Estimation of Stochastic Volatility Models for the Purpose of Option Pricing / Mikhail Chernov ; Eric Ghysels = 567

 38 Option Pricing via Genetic Programming / N. K. Chidambaran ; Chi-Wen Jevons Lee ; Joaquin R. Trigueros = 583

 39 Nonparametric Testing of ARCH for Option Pricing / Peter Christoffersen ; Jinyong Hahn = 599

 40 A Computational Framework for Contingent Claim Pricing and Hedging under Time Dependent Asset Processes / Les Clewlow ; Russell Grimwood = 613

 41 A Framework for Comparative Analysis of Statistical and Machine Learning Methods : An Application to the Black-Scholes Option Pricing Equation / J. Galindo-Flores = 635

 42 Option Pricing with the Efficient Method of Moments / George J. Jiang ; Pieter J. van der Sluis = 661

 43 Option Valuation with the Genetic Programming Approach / Christian Keber = 689

Contact Information = 705

Keyword Index = 709



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