Handbook of Financial Engineering (eBook)

Constantin Zopounidis, Michael Doumpos, Panos M. Pardalos (Herausgeber)

eBook Download: PDF

2010 | 2008
XVIII, 494 Seiten
Springer US (Verlag)
978-0-387-76682-9 (ISBN)

Infos

This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

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Over the past decade the financial and business environments have undergone significant changes. During the same period several advances have been made within the field of financial engineering, involving both the methodological tools as well as the application areas.This comprehensive edited volume discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems.This book is divided into four major parts, each covering different aspects of financial engineering and modeling such as portfolio management and trading, risk management, applications of operation research methods, and credit rating models.Handbook of Financial Engineering is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Inhalt

Preface 7
Contents 13
List of Contributors 15
Portfolio Management and Trading 18
Portfolio Selection in the Presence of Multiple Criteria 19
1 Introduction 19
2 Initial Stochastic Programming Problem 22
3 Equivalent Deterministic Formulations 23
4 Portfolio Selection with Multiple-Argument Utility Functions 26
5 Mean-Variance Nondominated Sets 30
6 Solving a Multiple Criteria Portfolio Selection Problem 33
7 Conclusions 36
References 37
Applications of Integer Programming to Financial Optimization 41
1 Introduction 41
2 Mean-Risk Portfolio Optimization Problems 42
3 Maximal Predictability Portfolio Optimization Problems 49
4 Choosing the Best Set of Financial Attributes in Failure Discriminant Analysis 55
References 63
Computing Mean/Downside Risk Frontiers: The Role of Ellipticity 65
1 Introduction 65
2 Main Proposition 66
3 The Case of Two Assets 70
4 Conic Results 75
5 Simulation Methodology 77
6 Conclusion 81
References 82
Exchange Traded Funds: History, Trading, and Research 83
1 Introduction 83
2 The History of ETFs 84
3 ETF Trading 88
4 ETFs’ Pricing Efficiency 98
5 ETF Performance 100
6 The Impact of the Introduction of ETFs on Trading and Efficiency of Related Securities 101
7 More Studies Devoted to ETFs 107
8 Conclusion and Perspectives 109
References 110
Genetic Programming and Financial Trading: How Much About "What We Know” 114
1 Motivation and Literature Review 114
2 Genetic Programming 116
3 Fitness Function 119
4 Data and Data Preprocessing 123
5 Results 125
6 Concluding Remarks 147
Appendices 151
References 168
Risk Management 170
Interest Rate Models: A Review 171
1 Introduction 171
2 Continuous-Time Models of Interest Rates 171
3 Simple Short-Rate Models 172
4 Estimating Interest Rate Models 177
5 Multifactor Models of Interest Rates 180
6 Estimating a Two-Factor Model for German Interest Rates 184
7 Stochastic Term Structure Models 199
8 Multifactor HJMModels 203
9 Market Models: The LIBOR Approach 204
10 Volatility and Correlation in Forward Rates 208
11 Concluding Remarks 209
References 212
Engineering a Generalized Neural Network Mapping of Volatility Spillovers in European Government Bond Markets 215
1 Introduction 215
2 The Volatility Spillover Model 217
3 The Data 221
4 ANN Estimation of Volatility Spillover 224
5 Summary and Conclusions 239
References 241
Estimating Parameters in a Pricing Model with State- Dependent Shocks 244
1 Introduction 244
2 The Pricing Model 245
3 Parameter Estimation 248
4 Fitting the Shocks: A Peaks Method 251
5 Numerical Tests 252
6 Conclusion 256
References 256
Controlling Currency Risk with Options or Forwards 258
1 Introduction 258
2 The International Portfolio Management Model 261
3 Currency Hedging Strategies 271
4 Empirical Results 275
5 Conclusions 286
Appendix: Pricing Currency Options 287
References 289
Operations Research Methods in Financial Engineering 292
Asset Liability Management Techniques 293
1 Introduction 293
2 Bank ALM Techniques 296
3 Conclusions 307
Appendix 308
References 310
Advanced Operations Research Techniques in Capital Budgeting 313
1 Scope of the Chapter 313
2 The Traditional Discounted Cash Flow Approach 315
3 Multicriteria Analysis 318
4 Fuzzy Treatment of Uncertainties 324
5 Treatment of Uncertainties Using Real Options 340
6 Conclusions 353
References 353
Financial Networks 355
1 Introduction 355
2 Financial Optimization Problems 357
3 General Financial Equilibrium Problems 360
4 Dynamic Financial Networks with Intermediation 371
5 Numerical Examples 385
References 390
Mergers, Acquisitions, and Credit Risk Ratings 395
The Choice of the Payment Method in Mergers and Acquisitions 396
1 Introduction 396
2 The Origin of the Asymmetric Information Models and Myers and Maljuf’s Model ( 1984) 399
3 The Informational Asymmetry Models Subsequent to Myers and Maljuf ( 1984) 404
4 The Impact of Taxation on the Choice of the Payment Method 411
5 The Theories Linked to Managerial Ownership and to Outside Monitoring 417
6 The Past Performances, the Investment Opportunities, and the Business Cycles 424
7 The Optimal Structure of Capital 427
8 The Theories Linked to the Delays of Achievement of the Deal 429
9 The Acquisition of Nonpublic Firms 430
10 Conclusions 433
References 434
An Application of Support Vector Machines in the Prediction of Acquisition Targets: Evidence from the EU Banking Sector 441
1 Introduction 441
2 M& As Trends in the EU Banking Industry
3 Literature Review 444
4 Support Vector Machines 448
5 Data and Variables 450
6 Empirical Results 457
7 Conclusions 460
References 461
Credit Rating Systems: Regulatory Framework and Comparative Evaluation of Existing Methods 467
1 Introduction 467
2 Credit Rating Systems 468
3 Comparison of Classification Methods for the Development of Credit Rating Models 476
4 Conclusions and Future Perspectives 494
References 495
Index 499

Produkt-Details

• Erscheint lt. Verlag: 25.7.2010
• Reihe/Serie: Springer Optimization and Its Applications
• Reihe/Serie: Springer Optimization and Its Applications
• Zusatzinfo: XVIII, 494 p. 25 illus.
• Verlagsort: New York
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Versicherungsbetriebslehre
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
• Schlagworte: credit rating models • genetic programming • mathematical finance • Modeling • Operations Research • Optimization • Portfolio Management • Quantitative Finance • Risk Management • SOIA • Support Vector Machine • Trading
• ISBN-10: 0-387-76682-0 / 0387766820
• ISBN-13: 978-0-387-76682-9 / 9780387766829