WIT Press

Computational Finance and its Applications

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Do Size And Sector Classification Matter For Long–short Strategies?

Author(s): Y. Kawasaki, H. Udaka & T. Hirano

Pages: 9 Page Range: 0 - 0 Size: 424 kb Price: Free (open access)

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Predicting Stock Market Indices Movements

Author(s): P.N. Rodriguez & A. Rodriguez

Pages: 11 Page Range: 0 - 0 Size: 362 kb Price: Free (open access)

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A Mixed Distribution Approach To Copula Models Of Portfolio Returns

Author(s): D.J. Miller & W.H. Liu

Pages: 10 Page Range: 0 - 0 Size: 515 kb Price: Free (open access)

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Artificial Agents And Speculative Bubbles

Author(s): Y. Semet, S. Gelly, M. Schoenauer & M. Sebag

Pages: 10 Page Range: 0 - 0 Size: 751 kb Price: Free (open access)

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Using Options Theory To Identify The Optimal Dispatch Strategy For Electricity Producers In A Deregulated Environment

Author(s): B. Morel

Pages: 9 Page Range: 0 - 0 Size: 351 kb Price: Free (open access)

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Financial Credit Risk Measurement Prediction Using Innovative Soft-computing Techniques

Author(s): R. Campos, F.J. Ruiz, N. Agell & C. Angulo

Pages: 10 Page Range: 0 - 0 Size: 423 kb Price: Free (open access)

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The Relevance Of Basis Risk In The Weather Derivatives Market

Author(s): M.B. Rohrer

Pages: 8 Page Range: 0 - 0 Size: 456 kb Price: Free (open access)

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Global Sensitivity Analysis Of Credit Risk Portfolios

Author(s): D. Baur, J. Cariboni & F. Campolongo

Pages: 8 Page Range: 0 - 0 Size: 334 kb Price: Free (open access)

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Pricing Corporate Bonds, CDS And Options On CDS With The BMC Model

Author(s): D. Bloch

Pages: 11 Page Range: 0 - 0 Size: 383 kb Price: Free (open access)

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On Revision Of The Option-based Approach To Modeling Mortgage Securities

Author(s): Y. Goncharov

Pages: 9 Page Range: 0 - 0 Size: 296 kb Price: Free (open access)

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A Hybrid Approach To Valuing American Barrier And Parisian Options

Author(s): M. Gustafson & G. Jetley

Pages: 11 Page Range: 0 - 0 Size: 406 kb Price: Free (open access)

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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 Page Range: 0 - 0 Size: 585 kb Price: Free (open access)

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A Statistical Deterministic Implied Volatility Model

Author(s): D. Bloch & J.D. Aube

Pages: 10 Page Range: 0 - 0 Size: 396 kb Price: Free (open access)

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Pricing Of Options In Emerging Financial Markets Using Martingale Simulation: An Example From Turkey

Author(s): S. Demir & H. Tutek

Pages: 12 Page Range: 0 - 0 Size: 333 kb Price: Free (open access)

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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 Page Range: 0 - 0 Size: 381 kb Price: Free (open access)

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Inferring Model Parameters In Markets With Collars

Author(s): R.W. Chen, B. Rosenberg & Y.T. Lee

Pages: 9 Page Range: 0 - 0 Size: 353 kb Price: Free (open access)

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Optimal Quasi-Monte Carlo Valuation Of Derivative Securities

Author(s): M. Mascagni & H. Chi

Pages: 9 Page Range: 0 - 0 Size: 422 kb Price: Free (open access)

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Optimal Control Strategies For Portfolios Of Managed Futures

Author(s): O.H. Criner

Pages: 13 Page Range: 0 - 0 Size: 621 kb Price: Free (open access)

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A Micro-analysis-system Of A Commercial Bank Based On A Value Chain

Author(s): H. Chi, L. Ji & J. Chen

Pages: 6 Page Range: 0 - 0 Size: 288 kb Price: Free (open access)

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Improved Time Series Prediction Using Evolutionary Algorithms For The Generation Of Feedback Connections In Neural Networks

Author(s): E. Hulthen & M. Wahde

Pages: 9 Page Range: 0 - 0 Size: 333 kb Price: Free (open access)

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Price Trends In Speculative Markets, Do They Exist? A Case Study

Author(s): L.O. Södahl

Pages: 9 Page Range: 0 - 0 Size: 473 kb Price: Free (open access)

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Seasonal Asymmetric Persistence In Volatility: An Extension Of GARCH Models

Author(s): V. Terraza

Pages: 9 Page Range: 0 - 0 Size: 346 kb Price: Free (open access)

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Visual Recurrence Analysis As An Alternative Framework For Time Series Characterisation

Author(s): B. Pecar

Pages: 11 Page Range: 0 - 0 Size: 3,945 kb Price: Free (open access)

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Pattern Recognition Through Perceptually Important Points In Financial Time Series

Author(s): G. Zaib, U. Ahmed & A. Ali

Pages: 12 Page Range: 0 - 0 Size: 402 kb Price: Free (open access)

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Parametric Inference For Stochastic Differential Equations By Path Integration

Author(s): C. Skaug

Pages: 10 Page Range: 0 - 0 Size: 354 kb Price: Free (open access)

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Point And Figure Charting: Computational Issues And Multi-box Reversal Probabilities

Author(s): J.A. Anderson

Pages: 11 Page Range: 0 - 0 Size: 426 kb Price: Free (open access)

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Self-similarity And Multifractality In Financial Asset Returns

Author(s): Ö. Önalan

Pages: 7 Page Range: 0 - 0 Size: 317 kb Price: Free (open access)

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Non-linear Logit Models For High Frequency Currency Exchange Data

Author(s): N. Sazuka & T. Ohira

Pages: 9 Page Range: 0 - 0 Size: 331 kb Price: Free (open access)

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Computational Finance and its Applications


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