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Handbook of Financial Engineering
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Handbook of Financial Engineering
von: Constantin Zopounidis, Michael Doumpos, Panos M. Pardalos
Springer-Verlag, 2010
ISBN: 9780387766829
494 Seiten, Download: 8858 KB
 
Format:  PDF
geeignet für: Apple iPad, Android Tablet PC's Online-Lesen PC, MAC, Laptop

Typ: B (paralleler Zugriff)

 

 
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Inhaltsverzeichnis

  Preface 7  
  Contents 13  
  List of Contributors 15  
  Portfolio Management and Trading 18  
     Portfolio Selection in the Presence of Multiple Criteria 19  
        1 Introduction 19  
        2 Initial Stochastic Programming Problem 22  
        3 Equivalent Deterministic Formulations 23  
        4 Portfolio Selection with Multiple-Argument Utility Functions 26  
        5 Mean-Variance Nondominated Sets 30  
        6 Solving a Multiple Criteria Portfolio Selection Problem 33  
        7 Conclusions 36  
        References 37  
     Applications of Integer Programming to Financial Optimization 41  
        1 Introduction 41  
        2 Mean-Risk Portfolio Optimization Problems 42  
        3 Maximal Predictability Portfolio Optimization Problems 49  
        4 Choosing the Best Set of Financial Attributes in Failure Discriminant Analysis 55  
        References 63  
     Computing Mean/Downside Risk Frontiers: The Role of Ellipticity 65  
        1 Introduction 65  
        2 Main Proposition 66  
        3 The Case of Two Assets 70  
        4 Conic Results 75  
        5 Simulation Methodology 77  
        6 Conclusion 81  
        References 82  
     Exchange Traded Funds: History, Trading, and Research 83  
        1 Introduction 83  
        2 The History of ETFs 84  
        3 ETF Trading 88  
        4 ETFs’ Pricing Efficiency 98  
        5 ETF Performance 100  
        6 The Impact of the Introduction of ETFs on Trading and Efficiency of Related Securities 101  
        7 More Studies Devoted to ETFs 107  
        8 Conclusion and Perspectives 109  
        References 110  
     Genetic Programming and Financial Trading: How Much About "What We Know” 114  
        1 Motivation and Literature Review 114  
        2 Genetic Programming 116  
        3 Fitness Function 119  
        4 Data and Data Preprocessing 123  
        5 Results 125  
        6 Concluding Remarks 147  
        Appendices 151  
        References 168  
  Risk Management 170  
     Interest Rate Models: A Review 171  
        1 Introduction 171  
        2 Continuous-Time Models of Interest Rates 171  
        3 Simple Short-Rate Models 172  
        4 Estimating Interest Rate Models 177  
        5 Multifactor Models of Interest Rates 180  
        6 Estimating a Two-Factor Model for German Interest Rates 184  
        7 Stochastic Term Structure Models 199  
        8 Multifactor HJMModels 203  
        9 Market Models: The LIBOR Approach 204  
        10 Volatility and Correlation in Forward Rates 208  
        11 Concluding Remarks 209  
        References 212  
     Engineering a Generalized Neural Network Mapping of Volatility Spillovers in European Government Bond Markets 215  
        1 Introduction 215  
        2 The Volatility Spillover Model 217  
        3 The Data 221  
        4 ANN Estimation of Volatility Spillover 224  
        5 Summary and Conclusions 239  
        References 241  
     Estimating Parameters in a Pricing Model with State- Dependent Shocks 244  
        1 Introduction 244  
        2 The Pricing Model 245  
        3 Parameter Estimation 248  
        4 Fitting the Shocks: A Peaks Method 251  
        5 Numerical Tests 252  
        6 Conclusion 256  
        References 256  
     Controlling Currency Risk with Options or Forwards 258  
        1 Introduction 258  
        2 The International Portfolio Management Model 261  
        3 Currency Hedging Strategies 271  
        4 Empirical Results 275  
        5 Conclusions 286  
        Appendix: Pricing Currency Options 287  
        References 289  
  Operations Research Methods in Financial Engineering 292  
     Asset Liability Management Techniques 293  
        1 Introduction 293  
        2 Bank ALM Techniques 296  
        3 Conclusions 307  
        Appendix 308  
        References 310  
     Advanced Operations Research Techniques in Capital Budgeting 313  
        1 Scope of the Chapter 313  
        2 The Traditional Discounted Cash Flow Approach 315  
        3 Multicriteria Analysis 318  
        4 Fuzzy Treatment of Uncertainties 324  
        5 Treatment of Uncertainties Using Real Options 340  
        6 Conclusions 353  
        References 353  
     Financial Networks 355  
        1 Introduction 355  
        2 Financial Optimization Problems 357  
        3 General Financial Equilibrium Problems 360  
        4 Dynamic Financial Networks with Intermediation 371  
        5 Numerical Examples 385  
        References 390  
  Mergers, Acquisitions, and Credit Risk Ratings 395  
     The Choice of the Payment Method in Mergers and Acquisitions 396  
        1 Introduction 396  
        2 The Origin of the Asymmetric Information Models and Myers and Maljuf’s Model ( 1984) 399  
        3 The Informational Asymmetry Models Subsequent to Myers and Maljuf ( 1984) 404  
        4 The Impact of Taxation on the Choice of the Payment Method 411  
        5 The Theories Linked to Managerial Ownership and to Outside Monitoring 417  
        6 The Past Performances, the Investment Opportunities, and the Business Cycles 424  
        7 The Optimal Structure of Capital 427  
        8 The Theories Linked to the Delays of Achievement of the Deal 429  
        9 The Acquisition of Nonpublic Firms 430  
        10 Conclusions 433  
        References 434  
     An Application of Support Vector Machines in the Prediction of Acquisition Targets: Evidence from the EU Banking Sector 441  
        1 Introduction 441  
        2 M&As Trends in the EU Banking Industry 442  
        3 Literature Review 444  
        4 Support Vector Machines 448  
        5 Data and Variables 450  
        6 Empirical Results 457  
        7 Conclusions 460  
        References 461  
     Credit Rating Systems: Regulatory Framework and Comparative Evaluation of Existing Methods 467  
        1 Introduction 467  
        2 Credit Rating Systems 468  
        3 Comparison of Classification Methods for the Development of Credit Rating Models 476  
        4 Conclusions and Future Perspectives 494  
        References 495  
  Index 499  


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