Computational Finance and its Applications
Paper Listing
| Do Size And Sector Classification Matter For
Long–short Strategies?
Author(s): Y. Kawasaki, H. Udaka & T. Hirano Pages: 9 Price: Free (open access) Size: 424 kb Copyright: WIT Press DOI: 10.2495/CF040011 | Open Access  Details |
| Predicting Stock Market Indices Movements
Author(s): P.N. Rodriguez & A. Rodriguez Pages: 11 Price: Free (open access) Size: 362 kb Copyright: WIT Press DOI: 10.2495/CF040021 | Open Access Details |
| A Mixed Distribution Approach To Copula
Models Of Portfolio Returns
Author(s): D.J. Miller & W.H. Liu Pages: 10 Price: Free (open access) Size: 515 kb Copyright: WIT Press DOI: 10.2495/CF040031 | Open Access Details |
| Artificial Agents And Speculative Bubbles
Author(s): Y. Semet, S. Gelly, M. Schoenauer & M. Sebag Pages: 10 Price: Free (open access) Size: 751 kb Copyright: WIT Press DOI: 10.2495/CF040041 | Open Access Details |
| Using Options Theory To Identify The Optimal
Dispatch Strategy For Electricity Producers In A
Deregulated Environment
Author(s): B. Morel Pages: 9 Price: Free (open access) Size: 351 kb Copyright: WIT Press DOI: 10.2495/CF040051 | Open Access Details |
| Financial Credit Risk Measurement Prediction
Using Innovative Soft-computing Techniques
Author(s): R. Campos, F.J. Ruiz, N. Agell & C. Angulo Pages: 10 Price: Free (open access) Size: 423 kb Copyright: WIT Press DOI: 10.2495/CF040061 | Open Access Details |
| The Relevance Of Basis Risk In The Weather
Derivatives Market
Author(s): M.B. Rohrer Pages: 8 Price: Free (open access) Size: 456 kb Copyright: WIT Press DOI: 10.2495/CF040071 | Open Access Details |
| Global Sensitivity Analysis Of Credit Risk
Portfolios
Author(s): D. Baur, J. Cariboni & F. Campolongo Pages: 8 Price: Free (open access) Size: 334 kb Copyright: WIT Press DOI: 10.2495/CF040081 | Open Access Details |
| Pricing Corporate Bonds, CDS And Options On
CDS With The BMC Model
Author(s): D. Bloch Pages: 11 Price: Free (open access) Size: 383 kb Copyright: WIT Press DOI: 10.2495/CF040091 | Open Access Details |
| On Revision Of The Option-based Approach To
Modeling Mortgage Securities
Author(s): Y. Goncharov Pages: 9 Price: Free (open access) Size: 296 kb Copyright: WIT Press DOI: 10.2495/CF040101 | Open Access Details |
| A Hybrid Approach To Valuing American
Barrier And Parisian Options
Author(s): M. Gustafson & G. Jetley Pages: 11 Price: Free (open access) Size: 406 kb Copyright: WIT Press DOI: 10.2495/CF040111 | Open Access Details |
| Different Estimators Of The Underlying Asse4s
Volatility And Option Pricing Errors: Parallel
Monte-Carlo Simulation
Author(s): S. Rakhmayil, I. Shiller & R.K. Thulasiram Pages: 11 Price: Free (open access) Size: 585 kb Copyright: WIT Press DOI: 10.2495/CF040121 | Open Access Details |
| A Statistical Deterministic Implied Volatility
Model
Author(s): D. Bloch & J.D. Aube Pages: 10 Price: Free (open access) Size: 396 kb Copyright: WIT Press DOI: 10.2495/CF040131 | Open Access Details |
| Pricing Of Options In Emerging Financial
Markets Using Martingale Simulation: An
Example From Turkey
Author(s): S. Demir & H. Tutek Pages: 12 Price: Free (open access) Size: 333 kb Copyright: WIT Press DOI: 10.2495/CF040141 | Open Access Details |
| A Distributed Laplace Transform Algorithm For
European Options
Author(s): A.J. Davies, M.E. Honnor, C.H. Lai, A.K. Parrott & S. Rout Pages: 10 Price: Free (open access) Size: 381 kb Copyright: WIT Press DOI: 10.2495/CF040151 | Open Access Details |
| Inferring Model Parameters In Markets With
Collars
Author(s): R.W. Chen, B. Rosenberg & Y.T. Lee Pages: 9 Price: Free (open access) Size: 353 kb Copyright: WIT Press DOI: 10.2495/CF040161 | Open Access Details |
| Optimal Quasi-Monte Carlo Valuation Of
Derivative Securities
Author(s): M. Mascagni & H. Chi Pages: 9 Price: Free (open access) Size: 422 kb Copyright: WIT Press DOI: 10.2495/CF040171 | Open Access Details |
| Optimal Control Strategies For Portfolios Of
Managed Futures
Author(s): O.H. Criner Pages: 13 Price: Free (open access) Size: 621 kb Copyright: WIT Press DOI: 10.2495/CF040181 | Open Access Details |
| A Micro-analysis-system Of A Commercial
Bank Based On A Value Chain
Author(s): H. Chi, L. Ji & J. Chen Pages: 6 Price: Free (open access) Size: 288 kb Copyright: WIT Press DOI: 10.2495/CF040191 | Open Access Details |
| Improved Time Series Prediction Using
Evolutionary Algorithms For The Generation Of
Feedback Connections In Neural Networks
Author(s): E. Hulthen & M. Wahde Pages: 9 Price: Free (open access) Size: 333 kb Copyright: WIT Press DOI: 10.2495/CF040201 | Open Access Details |
| Price Trends In Speculative Markets, Do They
Exist? A Case Study
Author(s): L.O. Södahl Pages: 9 Price: Free (open access) Size: 473 kb Copyright: WIT Press DOI: 10.2495/CF040211 | Open Access Details |
| Seasonal Asymmetric Persistence In Volatility:
An Extension Of GARCH Models
Author(s): V. Terraza Pages: 9 Price: Free (open access) Size: 346 kb Copyright: WIT Press DOI: 10.2495/CF040221 | Open Access Details |
| Visual Recurrence Analysis As An Alternative
Framework For Time Series Characterisation
Author(s): B. Pecar Pages: 11 Price: Free (open access) Size: 3,945 kb Copyright: WIT Press DOI: 10.2495/CF040231 | Open Access Details |
| Pattern Recognition Through Perceptually
Important Points In Financial Time Series
Author(s): G. Zaib, U. Ahmed & A. Ali Pages: 12 Price: Free (open access) Size: 402 kb Copyright: WIT Press DOI: 10.2495/CF040241 | Open Access Details |
| Parametric Inference For Stochastic Differential
Equations By Path Integration
Author(s): C. Skaug Pages: 10 Price: Free (open access) Size: 354 kb Copyright: WIT Press DOI: 10.2495/CF040251 | Open Access Details |
| Point And Figure Charting: Computational Issues
And Multi-box Reversal Probabilities
Author(s): J.A. Anderson Pages: 11 Price: Free (open access) Size: 426 kb Copyright: WIT Press DOI: 10.2495/CF040261 | Open Access Details |
| Self-similarity And Multifractality In Financial
Asset Returns
Author(s): Ö. Önalan Pages: 7 Price: Free (open access) Size: 317 kb Copyright: WIT Press DOI: 10.2495/CF040271 | Open Access Details |
| Non-linear Logit Models For High Frequency
Currency Exchange Data
Author(s): N. Sazuka & T. Ohira Pages: 9 Price: Free (open access) Size: 331 kb Copyright: WIT Press DOI: 10.2495/CF040281 | Open Access Details |
Transaction
WIT Transactions on Modelling and Simulation
Volume
38
Print ISBN
978-1-85312-709-0
Edited By
Wessex Institute of Technology, UK
Electronic ISSN
1743-355X
Published
2004
Pages
320
