Zopounidis / Doumpos / Pardalos Handbook of Financial Engineering

1. Auflage 2010
ISBN: 978-0-387-76682-9
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 18, 501 Seiten

Reihe: Springer Optimization and Its Applications

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.

Autoren/Hrsg.

Zopounidis, Constantin

Doumpos, Michael

Pardalos, Panos M.

Inhaltsverzeichnis

1;Preface;7
2;Contents;13
3;List of Contributors;15
4;Portfolio Management and Trading;18
4.1;Portfolio Selection in the Presence of Multiple Criteria;19
4.1.1;1 Introduction;19
4.1.2;2 Initial Stochastic Programming Problem;22
4.1.3;3 Equivalent Deterministic Formulations;23
4.1.4;4 Portfolio Selection with Multiple-Argument Utility Functions;26
4.1.5;5 Mean-Variance Nondominated Sets;30
4.1.6;6 Solving a Multiple Criteria Portfolio Selection Problem;33
4.1.7;7 Conclusions;36
4.1.8;References;37
4.2;Applications of Integer Programming to Financial Optimization;41
4.2.1;1 Introduction;41
4.2.2;2 Mean-Risk Portfolio Optimization Problems;42
4.2.3;3 Maximal Predictability Portfolio Optimization Problems;49
4.2.4;4 Choosing the Best Set of Financial Attributes in Failure Discriminant Analysis;55
4.2.5;References;63
4.3;Computing Mean/Downside Risk Frontiers: The Role of Ellipticity;65
4.3.1;1 Introduction;65
4.3.2;2 Main Proposition;66
4.3.3;3 The Case of Two Assets;70
4.3.4;4 Conic Results;75
4.3.5;5 Simulation Methodology;77
4.3.6;6 Conclusion;81
4.3.7;References;82
4.4;Exchange Traded Funds: History, Trading, and Research;83
4.4.1;1 Introduction;83
4.4.2;2 The History of ETFs;84
4.4.3;3 ETF Trading;88
4.4.4;4 ETFs’ Pricing Efficiency;98
4.4.5;5 ETF Performance;100
4.4.6;6 The Impact of the Introduction of ETFs on Trading and Efficiency of Related Securities;101
4.4.7;7 More Studies Devoted to ETFs;107
4.4.8;8 Conclusion and Perspectives;109
4.4.9;References;110
4.5;Genetic Programming and Financial Trading: How Much About "What We Know”;114
4.5.1;1 Motivation and Literature Review;114
4.5.2;2 Genetic Programming;116
4.5.3;3 Fitness Function;119
4.5.4;4 Data and Data Preprocessing;123
4.5.5;5 Results;125
4.5.6;6 Concluding Remarks;147
4.5.7;Appendices;151
4.5.8;References;168
5;Risk Management;170
5.1;Interest Rate Models: A Review;171
5.1.1;1 Introduction;171
5.1.2;2 Continuous-Time Models of Interest Rates;171
5.1.3;3 Simple Short-Rate Models;172
5.1.4;4 Estimating Interest Rate Models;177
5.1.5;5 Multifactor Models of Interest Rates;180
5.1.6;6 Estimating a Two-Factor Model for German Interest Rates;184
5.1.7;7 Stochastic Term Structure Models;199
5.1.8;8 Multifactor HJMModels;203
5.1.9;9 Market Models: The LIBOR Approach;204
5.1.10;10 Volatility and Correlation in Forward Rates;208
5.1.11;11 Concluding Remarks;209
5.1.12;References;212
5.2;Engineering a Generalized Neural Network Mapping of Volatility Spillovers in European Government Bond Markets;215
5.2.1;1 Introduction;215
5.2.2;2 The Volatility Spillover Model;217
5.2.3;3 The Data;221
5.2.4;4 ANN Estimation of Volatility Spillover;224
5.2.5;5 Summary and Conclusions;239
5.2.6;References;241
5.3;Estimating Parameters in a Pricing Model with State- Dependent Shocks;244
5.3.1;1 Introduction;244
5.3.2;2 The Pricing Model;245
5.3.3;3 Parameter Estimation;248
5.3.4;4 Fitting the Shocks: A Peaks Method;251
5.3.5;5 Numerical Tests;252
5.3.6;6 Conclusion;256
5.3.7;References;256
5.4;Controlling Currency Risk with Options or Forwards;258
5.4.1;1 Introduction;258
5.4.2;2 The International Portfolio Management Model;261
5.4.3;3 Currency Hedging Strategies;271
5.4.4;4 Empirical Results;275
5.4.5;5 Conclusions;286
5.4.6;Appendix: Pricing Currency Options;287
5.4.7;References;289
6;Operations Research Methods in Financial Engineering;292
6.1;Asset Liability Management Techniques;293
6.1.1;1 Introduction;293
6.1.2;2 Bank ALM Techniques;296
6.1.3;3 Conclusions;307
6.1.4;Appendix;308
6.1.5;References;310
6.2;Advanced Operations Research Techniques in Capital Budgeting;313
6.2.1;1 Scope of the Chapter;313
6.2.2;2 The Traditional Discounted Cash Flow Approach;315
6.2.3;3 Multicriteria Analysis;318
6.2.4;4 Fuzzy Treatment of Uncertainties;324
6.2.5;5 Treatment of Uncertainties Using Real Options;340
6.2.6;6 Conclusions;353
6.2.7;References;353
6.3;Financial Networks;355
6.3.1;1 Introduction;355
6.3.2;2 Financial Optimization Problems;357
6.3.3;3 General Financial Equilibrium Problems;360
6.3.4;4 Dynamic Financial Networks with Intermediation;371
6.3.5;5 Numerical Examples;385
6.3.6;References;390
7;Mergers, Acquisitions, and Credit Risk Ratings;395
7.1;The Choice of the Payment Method in Mergers and Acquisitions;396
7.1.1;1 Introduction;396
7.1.2;2 The Origin of the Asymmetric Information Models and Myers and Maljuf’s Model ( 1984);399
7.1.3;3 The Informational Asymmetry Models Subsequent to Myers and Maljuf ( 1984);404
7.1.4;4 The Impact of Taxation on the Choice of the Payment Method;411
7.1.5;5 The Theories Linked to Managerial Ownership and to Outside Monitoring;417
7.1.6;6 The Past Performances, the Investment Opportunities, and the Business Cycles;424
7.1.7;7 The Optimal Structure of Capital;427
7.1.8;8 The Theories Linked to the Delays of Achievement of the Deal;429
7.1.9;9 The Acquisition of Nonpublic Firms;430
7.1.10;10 Conclusions;433
7.1.11;References;434
7.2;An Application of Support Vector Machines in the Prediction of Acquisition Targets: Evidence from the EU Banking Sector;441
7.2.1;1 Introduction;441
7.2.2;2 M&As Trends in the EU Banking Industry;442
7.2.3;3 Literature Review;444
7.2.4;4 Support Vector Machines;448
7.2.5;5 Data and Variables;450
7.2.6;6 Empirical Results;457
7.2.7;7 Conclusions;460
7.2.8;References;461
7.3;Credit Rating Systems: Regulatory Framework and Comparative Evaluation of Existing Methods;467
7.3.1;1 Introduction;467
7.3.2;2 Credit Rating Systems;468
7.3.3;3 Comparison of Classification Methods for the Development of Credit Rating Models;476
7.3.4;4 Conclusions and Future Perspectives;494
7.3.5;References;495
8;Index;499