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04648nam a22005175i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-3-540-77958-2 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20161121231004.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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100301s2008 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783540779582 |
| -- |
978-3-540-77958-2 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/978-3-540-77958-2 |
| Source of number or code |
doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HJ9-9940 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
KFFD |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
BUS051000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
336 |
| Edition number |
23 |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Computational Methods in Financial Engineering |
| Medium |
[electronic resource] : |
| Remainder of title |
Essays in Honour of Manfred Gilli / |
| Statement of responsibility, etc. |
edited by Erricos J. Kontoghiorghes, Ber� Rustem, Peter Winker. |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer |
Springer Berlin Heidelberg, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2008. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XIV, 425 p. 88 illus. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
|---|
| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
|---|
| File type |
text file |
| Encoding format |
PDF |
| Source |
rda0 |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Portfolio Optimization and Option Pricing -- Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization -- Risk Preferences and Loss Aversion in Portfolio Optimization -- Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) -- Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix -- Optimal Execution of Time-Constrained Portfolio Transactions -- Semidefinite Programming Approaches for Bounding Asian Option Prices -- The Evaluation of Discrete Barrier Options in a Path Integral Framework -- Estimation and Classification -- Robust Prediction of Beta -- Neural Network Modelling with Applications to Euro Exchange Rates -- Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration -- Classification Using Optimization: Application to Credit Ratings of Bonds -- Evolving Decision Rules to Discover Patterns in Financial Data Sets -- Banking, Risk and Macroeconomic Modelling -- A Banking Firm Model: The Role of Market, Liquidity and Credit Risks -- Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions -- An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures -- Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems -- A Stochastic Monetary Policy Interest Rate Model -- Duali: Software for Solving Stochastic Control Problems in Economics. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance. "This book collects frontier work by researchers in computational economics in a tribute to Manfred Gilli, a leading member of this community. Contributions cover many of the topics researched by Gilli during his career: portfolio optimization and option pricing, estimation and classification, as well as banking, risk and macroeconomic modeling. The editors have put together a remarkable panorama of the rapidly growing and diversifying field of computational economics and finance." Michel Juillard, Paris School of Economics and University Paris 8. |
| 650 0# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance. |
| 650 0# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Economics, Mathematical. |
| 650 0# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Statistics. |
| 650 0# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Macroeconomics. |
| 650 0# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Public finance.1 |
| 650 4# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Economics.2 |
| 650 4# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Public Economics.2 |
| 650 4# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance, general.2 |
| 650 4# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Quantitative Finance.2 |
| 650 4# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Statistics for Business/Economics/Mathematical Finance/Insurance.2 |
| 650 4# - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Macroeconomics/Monetary Economics//Financial Economics.1 |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Kontoghiorghes, Erricos J. |
| Relator term |
editor.1 |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Rustem, Ber�. |
| Relator term |
editor.1 |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Winker, Peter. |
| Relator term |
editor.2 |
| 710 ## - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service)0 |
| 773 ## - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks08 |
| 776 ## - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Printed edition: |
| International Standard Book Number |
978354077957540 |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-540-77958-2 |
| 912 ## - |
|---|
| -- |
ZDB-2-SBE |
