Financial Engineering and Applications    (FEA 2006)

October 9 – 11, 2006
Cambridge, USA
Editor(s): Mark Holder
131 pages
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Abstracts may contain minor errors and formatting inconsistencies.
Please contact us if you have any concerns or questions.

Track Algorithmic Trading FreeSubscription
546-006 Optimal Tracking of Corporate Bond Indices
N. Mirjolet, G. Dondi, F. Herzog, S. Keel, and H.P. Geering (Switzerland)
Abstract
546-013 The Effects of Measuring the Actual Distribution and Dependence on Portfolio Selection Performance: Evidences from China Security Market
Z. Liu, B. Song, and W. Li (PRC)
Abstract
546-024 Efficient Pricing of Discrete Asian Options
W.W. Hsu and Y.-D. Lyuu (Taiwan)
Abstract
546-031 Efficient Calibration of Time-Changed Lévy Models to Forward Implied Volatility Surfaces
S. Kassberger and H. Schmidt (Germany)
Abstract
Track Risk Management FreeSubscription
546-008 Securities Selection and Portfolio Optimization: Is Money Being Left on the Table?
A. Clark and M. Labovitz (USA)
Abstract
546-011 Bayesian Credit Rating Analysis based on Ordered Probit Model with Functional Predictor
T. Ando (Japan)
Abstract
546-012 Optimal Covariances in Risk Model Aggregation
A.N. Kercheval (USA)
Abstract
546-016 Speed Up Optimization for CDO Design Method Conformed to Investor Needs
T. Nakae, K. Baba, T. Moritsu, and N. Komoda (Japan)
Abstract
546-045 Optimal Portfolios with Skewed and Heavy-Tailed Distributions
S. Keel, F. Herzog, H.P. Geering, and N. Mirjolet (Switzerland)
Abstract
546-049 Simulation of Nonlinear Portfolio Value-at-Risk by Monte Carlo and Quasi-Monte Carlo Methods
Y. Lai (Canada) and K.S. Tan (Canada & PRC)
Abstract
546-800 Portfolio Management Implications of Volatility Shifts: Evidence from Simulated Data
V. Fernandez (Chile) and B.M. Lucey (Ireland)
Abstract
Track Financial-Economic Forecasting FreeSubscription
546-019 Modelling the Volatility of China's Stock Market with Regime Shifts
R. Wang (PRC)
Abstract
546-033 Empirical Study of Spot Returns in the Australian Electricity Market
X. Lu and L.-F. Sugianto (Australia)
Abstract
546-041 Incremental Intraday Prediction of Extreme Values and Range-based Volatility
H.S. Ng and K.P. Lam (PRC)
Abstract
546-055 Efficient Calibration of a Multi-Objective Artificial Network to Amplify Directional Volatility Spillovers in European Government Bond Markets
G.H. Dash, Jr. and N. Kajiji (USA)
Abstract
Track Financial Derivatives and Hedge Fund Management FreeSubscription
546-014 On Exchange Options with Jumps
G.H.L. Cheang (Singapore), C. Chiarella, and A. Ziogas (Australia)
Abstract
546-028 Dynamic Analysis of Hedge Funds
M. Markov, I. Muchnik (USA), V. Mottl, and O. Krasotkina (Russia)
Abstract
546-039 Closed-Form Approximate Inversion of the Black-Scholes Formula
M. Li (USA)
Abstract
546-044 A Numerical Method for American Option Pricing under CEV
J. Zhao and H.Y. Wong (PRC)
Abstract
Abstracts may contain minor errors and formatting inconsistencies.
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ISBN (CD): 0-88986-634-1 ;
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The topics of interest include, but are not limited to: - Financial Derivatives; - Risk Management; - Stochastic Control; - Financial/Economic Forecasting; - Financial Valuation; - Hedge Fund Management; - Financial Visualization; and - Algorithmic Trading - Financial Engineering Applications.

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