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Author: Apostolos-Paul N. Refenes
Publisher: Springer Science & Business Media
ISBN: 1461556252
Category : Business & Economics
Languages : en
Pages : 472
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Book Description
This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of meetings has emerged as a truly multi-disciplinary international conference and provided an international focus for innovative research on the application of a multiplicity of advanced decision technologies to many areas of financial engineering. It has drawn upon theoretical advances in financial economics and robust methodological developments in the statistical, econometric and computer sciences. To reflect its multi-disciplinary nature, the NNCM conference has adopted the new title COMPUTATIONAL FINANCE. The papers in this volume are organised in six parts. Market Dynamics and Risk, Trading and Arbitrage strategies, Volatility and Options, Term-Structure and Factor models, Corporate Distress Models and Advances on Methodology. This years' acceptance rate (38%) reflects both the increasing interest in the conference and the Programme Committee's efforts to improve the quality of the meeting year-on-year. I would like to thank the members of the programme committee for their efforts in refereeing the papers. I also would like to thank the members of the computational finance group at London Business School and particularly Neil Burgess, Peter Bolland, Yves Bentz, and Nevil Towers for organising the meeting.
Author: Apostolos-Paul N. Refenes
Publisher: Springer Science & Business Media
ISBN: 1461556252
Category : Business & Economics
Languages : en
Pages : 472
Get Book Here
Book Description
This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of meetings has emerged as a truly multi-disciplinary international conference and provided an international focus for innovative research on the application of a multiplicity of advanced decision technologies to many areas of financial engineering. It has drawn upon theoretical advances in financial economics and robust methodological developments in the statistical, econometric and computer sciences. To reflect its multi-disciplinary nature, the NNCM conference has adopted the new title COMPUTATIONAL FINANCE. The papers in this volume are organised in six parts. Market Dynamics and Risk, Trading and Arbitrage strategies, Volatility and Options, Term-Structure and Factor models, Corporate Distress Models and Advances on Methodology. This years' acceptance rate (38%) reflects both the increasing interest in the conference and the Programme Committee's efforts to improve the quality of the meeting year-on-year. I would like to thank the members of the programme committee for their efforts in refereeing the papers. I also would like to thank the members of the computational finance group at London Business School and particularly Neil Burgess, Peter Bolland, Yves Bentz, and Nevil Towers for organising the meeting.
Author: Junzo Watada
Publisher: Springer Science & Business Media
ISBN: 3642221947
Category : Technology & Engineering
Languages : en
Pages : 903
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Book Description
Intelligent Decision Technologies (IDT) seeks an interchange of research on intelligent systems and intelligent technologies which enhance or improve decision making in industry, government and academia. The focus is interdisciplinary in nature, and includes research on all aspects of intelligent decision technologies, from fundamental development to the applied system. This volume represents leading research from the Third KES International Symposium on Intelligent Decision Technologies (KES IDT’11), hosted and organized by the University of Piraeus, Greece, in conjunction with KES International. The symposium was concerned with theory, design, development, implementation, testing and evaluation of intelligent decision systems. Topics include decision making theory, intelligent agents, fuzzy logic, multi-agent systems, Bayesian networks, optimization, artificial neural networks, genetic algorithms, expert systems, decision support systems, geographic information systems, case-based reasoning, time series, knowledge management systems, rough sets, spatial decision analysis, and multi-criteria decision analysis. These technologies have the potential to revolutionize decision making in many areas of management, healthcare, international business, finance, accounting, marketing, military applications, ecommerce, network management, crisis response, building design, information retrieval, and disaster recovery for a better future. The symposium was concerned with theory, design, development, implementation, testing and evaluation of intelligent decision systems. Topics include decision making theory, intelligent agents, fuzzy logic, multi-agent systems, Bayesian networks, optimization, artificial neural networks, genetic algorithms, expert systems, decision support systems, geographic information systems, case-based reasoning, time series, knowledge management systems, rough sets, spatial decision analysis, and multi-criteria decision analysis. These technologies have the potential to revolutionize decision making in many areas of management, healthcare, international business, finance, accounting, marketing, military applications, ecommerce, network management, crisis response, building design, information retrieval, and disaster recovery for a better future.
Author: Antoine Savine
Publisher: John Wiley & Sons
ISBN: 1119539455
Category : Mathematics
Languages : en
Pages : 592
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Book Description
Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.
Author: Apostolos-Paul N. Refenes
Publisher:
ISBN: 9781461556268
Category :
Languages : en
Pages : 496
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Book Description
Author: M. A. H. Dempster
Publisher: CRC Press
ISBN: 1315354691
Category : Computers
Languages : en
Pages : 648
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Book Description
High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored hardware, such as Field-Programmable Gate Arrays (FPGAs) or D-Wave’s quantum computer systems. High-Performance Computing in Finance is the first book that provides a state-of-the-art introduction to HPC for finance, capturing both academically and practically relevant problems.
Author: Elmar Steurer
Publisher: Cambridge Scholars Publishing
ISBN: 1527573249
Category : Business & Economics
Languages : en
Pages : 229
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Book Description
This book details how social innovations positively impact on non- or low-profit parts of society, such as education, health and energy, and describes a variety of methods for the successful implementation of entrepreneurship. The contributions here are based on the experience of authors from emerging countries, and present and explain practical advances in social innovation and transformative business management. Topics covered in this volume include additive manufacturing, the economic impact of such innovations on Japan’s aging society, a multi-stakeholder analysis for business founders in Tunisia, and the sustainability of solar technology in Namibia, among others.
Author: Dietmar G. Maringer
Publisher: Springer Science & Business Media
ISBN: 0387258531
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations) deals with the foundations of portfolio optimization, its assumptions, approaches and the limitations when "traditional" optimization techniques are to be applied. In addition, the basic concepts of several heuristic optimization techniques are presented along with examples of how to implement them for financial optimization problems. The second part (Applications and Contributions) consists of five chapters, covering different problems in financial optimization: the effects of (linear, proportional and combined) transaction costs together with integer constraints and limitations on the initital endowment to be invested; the diversification in small portfolios; the effect of cardinality constraints on the Markowitz efficient line; the effects (and hidden risks) of Value-at-Risk when used the relevant risk constraint; the problem factor selection for the Arbitrage Pricing Theory.
Author: Jimmy Shadbolt
Publisher: Springer Science & Business Media
ISBN: 1447101510
Category : Computers
Languages : en
Pages : 266
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Book Description
This volume looks at financial prediction from a broad range of perspectives. It covers: - the economic arguments - the practicalities of the markets - how predictions are used - how predictions are made - how predictions are turned into something usable (asset locations) It combines a discussion of standard theory with state-of-the-art material on a wide range of information processing techniques as applied to cutting-edge financial problems. All the techniques are demonstrated with real examples using actual market data, and show that it is possible to extract information from very noisy, sparse data sets. Aimed primarily at researchers in financial prediction, time series analysis and information processing, this book will also be of interest to quantitative fund managers and other professionals involved in financial prediction.
Author: Marco Avellaneda
Publisher: World Scientific
ISBN: 9814493562
Category : Business & Economics
Languages : en
Pages : 379
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Book Description
This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
Author: Marc Barthelemy
Publisher: Oxford University Press
ISBN: 0192693255
Category : Science
Languages : en
Pages : 177
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Book Description
Urbanization is a fundamental process in human history and is increasingly affecting our environment and society. Although cities have existed for centuries, describing and controlling urbanization has always been difficult and still is: cities are continuously changing over time in a non-homogeneous fashion that has puzzled historians, geographers, philosophers, economists, urbanists, engineers, mathematicians and physicists. In particular, one of the most debated issues of urban studies has been the question of urban population growth. How do cities appear and disappear, grow or decline? Why do we observe a hierarchy of cities from small to large and not a typical city size ? These questions are not only relevant for census purposes. The population size of the city is an important determinant for most of urban issues: land management, congestion, public transport planning, economic growth, innovation incentives, food and good supply and climate-change adaptation. A sound understanding of population growth processes is an inescapable path for a good monitoring of city planning. This book describes all aspects of quantitative approaches to urban population growth, ranging from measures and empirical results to the mathematical description of their evolution. It will be of interest to researchers working on quantitative aspect of cities and from many different disciplines such as quantitative geography, spatial economics, geomatics, urbanism and transportation, physics, or applied mathematics. This book will also be of interest to graduate students and researchers entering the field or interested in quantitative studies of urban systems.
