WIT Press

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 Size: 674 kb Price: Free (open access)

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Multifractal Analysis And Multiagent Simulation For Market Crash Prediction

Author(s): V. Romanov, V. Slepov, M. Badrina & A. Federyakov

Pages: 10 Page Range: 0 - 0 Size: 763 kb Price: Free (open access)

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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 Size: 432 kb Price: Free (open access)

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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 Size: 468 kb Price: Free (open access)

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Feasible Estimation Of The Long Term Interest Rate Dynamics By Nonlinear Techniques

Author(s): S. Fink & J. Walde

Pages: 8 Page Range: 43 - 50 Size: 358 kb Price: Free (open access)

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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 Size: 998 kb Price: Free (open access)

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Valuation Of Swing Options With Supplier Flexibility – Switching And Recall Features: A Methodology Note

Author(s): S. Persad

Pages: 8 Page Range: 63 - 70 Size: 532 kb Price: Free (open access)

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A Neural Network Approach To Option Pricing

Author(s): F. Mostafa & T. Dillon

Pages: 15 Page Range: 71 - 85 Size: 474 kb Price: Free (open access)

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A Green’s Function-based Iterative Approach To The Pricing Of American Options

Author(s): M. Y. Melnikov

Pages: 10 Page Range: 87 - 96 Size: 367 kb Price: Free (open access)

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Hedge Fund Portfolio Selection With Modified Expected Shortfall

Author(s): K. Boudt, B. G. Peterson & P. Carl

Pages: 9 Page Range: 99 - 107 Size: 247 kb Price: Free (open access)

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Portfolio Rankings With Skewness And Kurtosis

Author(s): M. Di Pierro & J. Mosevich

Pages: 9 Page Range: 109 - 117 Size: 237 kb Price: Free (open access)

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Active Portfolios: Diversification Across Trading Strategies

Author(s): C. Murray

Pages: 8 Page Range: 119 - 126 Size: 302 kb Price: Free (open access)

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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 Size: 545 kb Price: Free (open access)

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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 Size: 546 kb Price: Free (open access)

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Looking For Short Term Signals In Stock Market Data

Author(s): A. Bocharov

Pages: 10 Page Range: 157 - 166 Size: 650 kb Price: Free (open access)

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Modeling Spark Spread Option And Power Plant Evaluation

Author(s): Z. Li

Pages: 6 Page Range: 169 - 174 Size: 252 kb Price: Free (open access)

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Computation And Asymptotic Properties Of Estimated Coherent Risk Measures

Author(s): D. J. Miller & M. Kim

Pages: 10 Page Range: 175 - 184 Size: 254 kb Price: Free (open access)

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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 Size: 724 kb Price: Free (open access)

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Value At Risk, Outliers And Chaotic Dynamics

Author(s): C. Kyrtsou & V. Terraza

Pages: 9 Page Range: 197 - 205 Size: 358 kb Price: Free (open access)

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Numerical Modelling Of Operational Risks For The Banking Industry

Author(s): R. Barreira, T. Pryer & Q. Tang

Pages: 10 Page Range: 207 - 216 Size: 398 kb Price: Free (open access)

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Conditional Value-at-Risk Under Ellipsoidal Uncertainties

Author(s): M. H. Wong

Pages: 10 Page Range: 217 - 226 Size: 321 kb Price: Free (open access)

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Computational Finance and its Applications III


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

Online ISSN

1743-3517

Published

2008

Pages

256