Computational Finance and its Applications III
Paper Listing
| Control Systems Identification In Finance
And Economics
Author(s): O. Criner Pages: 10 Page Range: 3 - 12 Price: Free (open access) Size: 674 kb Copyright: WIT Press DOI: 10.2495/CF080011 | Open Access  Details |
| Multifractal Analysis And Multiagent Simulation
For Market Crash Prediction
Author(s): V. Romanov, V. Slepov, M. Badrina & A. Federyakov Pages: 10 Price: Free (open access) Size: 763 kb Copyright: WIT Press DOI: 10.2495/CF080021 | Open Access Details |
| Fast And Flexible Libor Model Pricing: Two-stage
Monte Carlo And On-the-fly Payoff Processing
Author(s): M. Auer & S. Biffl Pages: 9 Page Range: 23 - 31 Price: Free (open access) Size: 432 kb Copyright: WIT Press DOI: 10.2495/CF080031 | Open Access Details |
| Novel Pruning Based Hierarchical
Agglomerative Clustering For Mining Outliers
In Financial Time Series
Author(s): D. Wang, P. J. Fortier & H. E. Michel Pages: 10 Page Range: 33 - 42 Price: Free (open access) Size: 468 kb Copyright: WIT Press DOI: 10.2495/CF080041 | Open Access Details |
| Feasible Estimation Of The Long Term Interest
Rate Dynamics By Nonlinear Techniques
Author(s): S. Fink & J. Walde Pages: 8 Page Range: 43 - 50 Price: Free (open access) Size: 358 kb Copyright: WIT Press DOI: 10.2495/CF080051 | Open Access Details |
| Derivative Pricing As A Business Grid
Application Using NextGRID Technology
Author(s): A. Basermann, G. A. Kohring & C. Neff Pages: 10 Page Range: 53 - 62 Price: Free (open access) Size: 998 kb Copyright: WIT Press DOI: 10.2495/CF080061 | Open Access Details |
| Valuation Of Swing Options With Supplier
Flexibility – Switching And Recall Features:
A Methodology Note
Author(s): S. Persad Pages: 8 Page Range: 63 - 70 Price: Free (open access) Size: 532 kb Copyright: WIT Press DOI: 10.2495/CF080071 | Open Access Details |
| A Neural Network Approach To Option Pricing
Author(s): F. Mostafa & T. Dillon Pages: 15 Page Range: 71 - 85 Price: Free (open access) Size: 474 kb Copyright: WIT Press DOI: 10.2495/CF080081 | Open Access Details |
| A Green’s Function-based Iterative Approach To
The Pricing Of American Options
Author(s): M. Y. Melnikov Pages: 10 Page Range: 87 - 96 Price: Free (open access) Size: 367 kb Copyright: WIT Press DOI: 10.2495/CF080091 | Open Access Details |
| Hedge Fund Portfolio Selection With Modified
Expected Shortfall
Author(s): K. Boudt, B. G. Peterson & P. Carl Pages: 9 Page Range: 99 - 107 Price: Free (open access) Size: 247 kb Copyright: WIT Press DOI: 10.2495/CF080101 | Open Access Details |
| Portfolio Rankings With Skewness And Kurtosis
Author(s): M. Di Pierro & J. Mosevich Pages: 9 Page Range: 109 - 117 Price: Free (open access) Size: 237 kb Copyright: WIT Press DOI: 10.2495/CF080111 | Open Access Details |
| Active Portfolios: Diversification Across
Trading Strategies
Author(s): C. Murray Pages: 8 Page Range: 119 - 126 Price: Free (open access) Size: 302 kb Copyright: WIT Press DOI: 10.2495/CF080121 | Open Access Details |
| Discovery Of Multi-component Portfolio
Strategies With Continuous Tuning To The
Changing Market Micro-regimes Using
Input-dependent Boosting
Author(s): V. V. Gavrishchaka, O. V. Barinova, A. P. Vezhnevets & M. A. Monina Pages: 20 Page Range: 127 - 146 Price: Free (open access) Size: 545 kb Copyright: WIT Press DOI: 10.2495/CF080131 | Open Access Details |
| Day-of-the-week Effect In Some Of The
Gulf Cooperation Council (GCC)
Stock Markets
Author(s): A. M. Al-Barrak Pages: 8 Page Range: 149 - 156 Price: Free (open access) Size: 546 kb Copyright: WIT Press DOI: 10.2495/CF080141 | Open Access Details |
| Looking For Short Term Signals In
Stock Market Data
Author(s): A. Bocharov Pages: 10 Page Range: 157 - 166 Price: Free (open access) Size: 650 kb Copyright: WIT Press DOI: 10.2495/CF080151 | Open Access Details |
| Modeling Spark Spread Option And
Power Plant Evaluation
Author(s): Z. Li Pages: 6 Page Range: 169 - 174 Price: Free (open access) Size: 252 kb Copyright: WIT Press DOI: 10.2495/CF080161 | Open Access Details |
| Computation And Asymptotic Properties Of
Estimated Coherent Risk Measures
Author(s): D. J. Miller & M. Kim Pages: 10 Page Range: 175 - 184 Price: Free (open access) Size: 254 kb Copyright: WIT Press DOI: 10.2495/CF080171 | Open Access Details |
| An Empirical Investigation Of The Short-term
Relationship Between Interest Rate Risk And
Credit Risk
Author(s): C. Cech Pages: 12 Page Range: 185 - 196 Price: Free (open access) Size: 724 kb Copyright: WIT Press DOI: 10.2495/CF080181 | Open Access Details |
| Value At Risk, Outliers And Chaotic Dynamics
Author(s): C. Kyrtsou & V. Terraza Pages: 9 Page Range: 197 - 205 Price: Free (open access) Size: 358 kb Copyright: WIT Press DOI: 10.2495/CF080191 | Open Access Details |
| Numerical Modelling Of Operational Risks For
The Banking Industry
Author(s): R. Barreira, T. Pryer & Q. Tang Pages: 10 Page Range: 207 - 216 Price: Free (open access) Size: 398 kb Copyright: WIT Press DOI: 10.2495/CF080201 | Open Access Details |
| Conditional Value-at-Risk Under
Ellipsoidal Uncertainties
Author(s): M. H. Wong Pages: 10 Page Range: 217 - 226 Price: Free (open access) Size: 321 kb Copyright: WIT Press DOI: 10.2495/CF080211 | Open Access Details |
Transaction
WIT Transactions on Information and Communication Technologies
Volume
41
Print ISBN
978-1-84564-111-5
Edited By
M. COSTANTINO, Royal Bank of Scotland Financial Markets, UK, M. LARRAN, University of Cadiz, Spain and C.A. Brebbia, Wessex Institute of Technology, UK
Electronic ISSN
1743-3517
Published
2008
Pages
256
