E-raamat: Computational Finance and its Applications II

Constantino (Royal Bank of Scotland Financial Markets, UK) and Brebbia (Wessex Institute of Technology, UK) present edited versions of 40 papers from the Second International Conference of Computational Finance, held in June of 2006. The structure of the volume mirrors the major topic areas covered by the conference, which included financial service technologies in the 21st century; advanced computing and simulation, derivatives pricing; forecasting, advanced computing, and simulation; market analysis, dynamics, and simulation; portfolio management and asset allocation; risk management; and time series analysis and forecasting. A few examples of more specific topics include time value of the Internet banking adoption and customer trust, integrated equity applications after the US Sarbanes-Oxley legislation, herd behavior as a source of volatility in agent expectations in derivatives pricing, use of quadratic filter for the estimation of time-varying ss, the simulation of news and insiders' influence on stock-market price dynamics in a non-linear model, and strategic asset allocation using quadratic programming with case based reasoning and intelligent agents. The US office of WIT Press is Computational Mechanics. Annotation ©2006 Book News, Inc., Portland, OR (booknews.com)

Computational systems have become increasingly important in many financial applications, such as trading strategy, risk management, derivatives pricing, and many others. At the same time, traditional financial techniques have been constantly improved and developed as a result of the increased power of modern computer systems. Featuring papers from the Second International Conference on Computational Finance and its Applications, the text includes papers that encompass a wide range of topics such as: Risk Management; Derivatives Pricing; Credit Risk; Trading Strategies; Portfolio Management and Asset Allocation; Market Analysis, Dynamics and Simulation; Computational Economics and Agent-based Markets; Forecasting; Data Mining and Knowledge Discovery; Pattern Recognition; Intelligent Trading Agents; Time Series Analysis and Forecasting; High Frequency Financial Data; Export Systems and Decision Support; Advanced Computing and Simulation.