Download or read book Computational Intelligence Applications to Option Pricing Volatility Forecasting and Value at Risk written by Fahed Mostafa and published by Springer. This book was released on 2017-02-28 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demonstrates the power of neural networks in learning complex behavior from the underlying financial time series data. The results presented also show how neural networks can successfully be applied to volatility modeling, option pricing, and value-at-risk modeling. These features mean that they can be applied to market-risk problems to overcome classic problems associated with statistical models.

Download or read book The Future of Financial Regulation written by Iain G MacNeil and published by Bloomsbury Publishing. This book was released on 2010-03-12 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Future of Financial Regulation is an edited collection of papers presented at a major conference at the University of Glasgow in spring 2009, co-sponsored by the Economic and Social Research Council World Economy and Finance Programme and the the Australian Research Council Governance Research Network. It draws together a variety of different perspectives on the international financial crisis which began in August 2007 and later turned into a more widespread economic crisis following the collapse of Lehman Brothers in the autumn of 2008. Spring 2009 was in many respects the nadir since valuations in financial markets had reached their low point and crisis management rather than regulatory reform was the main focus of attention. The conference and book were deliberately framed as an attempt to re-focus attention from the former to the latter. The first part of the book focuses on the context of the crisis, discussing the general characteristics of financial crises and the specific influences that were at work this time round. The second part focuses more specifically on regulatory techniques and practices implicated in the crisis, noting in particular an over-reliance on the capacity of regulators and financial institutions to manage risk and on the capacity of markets to self-correct. The third part focuses on the role of governance and ethics in the crisis and in particular the need for a common ethical framework to underpin governance practices and to provide greater clarity in the design of accountability mechanisms. The final part focuses on the trajectory of regulatory reform, noting the considerable potential for change as a result of the role of the state in the rescue and recuperation of the financial system and stressing the need for fundamental re-appraisal of business and regulatory models.

Download or read book Computational Science and Its Applications ICCSA 2022 written by Osvaldo Gervasi and published by Springer Nature. This book was released on 2022-07-14 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: The eight-volume set LNCS 13375 – 13382 constitutes the proceedings of the 22nd International Conference on Computational Science and Its Applications, ICCSA 2022, which was held in Malaga, Spain during July 4 – 7, 2022. The first two volumes contain the proceedings from ICCSA 2022, which are the 57 full and 24 short papers presented in these books were carefully reviewed and selected from 279 submissions. The other six volumes present the workshop proceedings, containing 285 papers out of 815 submissions. These six volumes includes the proceedings of the following workshops: ​ Advances in Artificial Intelligence Learning Technologies: Blended Learning, STEM, Computational Thinking and Coding (AAILT 2022); Workshop on Advancements in Applied Machine-learning and Data Analytics (AAMDA 2022); Advances in information Systems and Technologies for Emergency management, risk assessment and mitigation based on the Resilience (ASTER 2022); Advances in Web Based Learning (AWBL 2022); Blockchain and Distributed Ledgers: Technologies and Applications (BDLTA 2022); Bio and Neuro inspired Computing and Applications (BIONCA 2022); Configurational Analysis For Cities (CA Cities 2022); Computational and Applied Mathematics (CAM 2022), Computational and Applied Statistics (CAS 2022); Computational Mathematics, Statistics and Information Management (CMSIM); Computational Optimization and Applications (COA 2022); Computational Astrochemistry (CompAstro 2022); Computational methods for porous geomaterials (CompPor 2022); Computational Approaches for Smart, Conscious Cities (CASCC 2022); Cities, Technologies and Planning (CTP 2022); Digital Sustainability and Circular Economy (DiSCE 2022); Econometrics and Multidimensional Evaluation in Urban Environment (EMEUE 2022); Ethical AI applications for a human-centered cyber society (EthicAI 2022); Future Computing System Technologies and Applications (FiSTA 2022); Geographical Computing and Remote Sensing for Archaeology (GCRSArcheo 2022); Geodesign in Decision Making: meta planning and collaborative design for sustainable and inclusive development (GDM 2022); Geomatics in Agriculture and Forestry: new advances and perspectives (GeoForAgr 2022); Geographical Analysis, Urban Modeling, Spatial Statistics (Geog-An-Mod 2022); Geomatics for Resource Monitoring and Management (GRMM 2022); International Workshop on Information and Knowledge in the Internet of Things (IKIT 2022); 13th International Symposium on Software Quality (ISSQ 2022); Land Use monitoring for Sustanability (LUMS 2022); Machine Learning for Space and Earth Observation Data (MALSEOD 2022); Building multi-dimensional models for assessing complex environmental systems (MES 2022); MOdels and indicators for assessing and measuring the urban settlement deVElopment in the view of ZERO net land take by 2050 (MOVEto0 2022); Modelling Post-Covid cities (MPCC 2022); Ecosystem Services: nature’s contribution to people in practice. Assessment frameworks, models, mapping, and implications (NC2P 2022); New Mobility Choices For Sustainable and Alternative Scenarios (NEMOB 2022); 2nd Workshop on Privacy in the Cloud/Edge/IoT World (PCEIoT 2022); Psycho-Social Analysis of Sustainable Mobility in The Pre- and Post-Pandemic Phase (PSYCHE 2022); Processes, methods and tools towards RESilient cities and cultural heritage prone to SOD and ROD disasters (RES 2022); Scientific Computing Infrastructure (SCI 2022); Socio-Economic and Environmental Models for Land Use Management (SEMLUM 2022); 14th International Symposium on Software Engineering Processes and Applications (SEPA 2022); Ports of the future - smartness and sustainability (SmartPorts 2022); Smart Tourism (SmartTourism 2022); Sustainability Performance Assessment: models, approaches and applications toward interdisciplinary and integrated solutions (SPA 2022); Specifics of smart cities development in Europe (SPEED 2022); Smart and Sustainable Island Communities (SSIC 2022); Theoretical and Computational Chemistryand its Applications (TCCMA 2022); Transport Infrastructures for Smart Cities (TISC 2022); 14th International Workshop on Tools and Techniques in Software Development Process (TTSDP 2022); International Workshop on Urban Form Studies (UForm 2022); Urban Regeneration: Innovative Tools and Evaluation Model (URITEM 2022); International Workshop on Urban Space and Mobilities (USAM 2022); Virtual and Augmented Reality and Applications (VRA 2022); Advanced and Computational Methods for Earth Science Applications (WACM4ES 2022); Advanced Mathematics and Computing Methods in Complex Computational Systems (WAMCM 2022).

Download or read book Introduction to Time Series and Forecasting written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introducitons are also given to cointegration and to non-linear, continuous-time and long-memory models. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.

Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Download or read book Financial Risk Management with Bayesian Estimation of GARCH Models written by David Ardia and published by Springer Science & Business Media. This book was released on 2008-05-08 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.

Download or read book Agrekon written by and published by . This book was released on 2007 with total page 1164 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2008-05-22 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.

Download or read book Handbook of Regression Analysis written by Samprit Chatterjee and published by John Wiley & Sons. This book was released on 2013-05-30 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Comprehensive Account for Data Analysts of the Methods and Applications of Regression Analysis. Written by two established experts in the field, the purpose of the Handbook of Regression Analysis is to provide a practical, one-stop reference on regression analysis. The focus is on the tools that both practitioners and researchers use in real life. It is intended to be a comprehensive collection of the theory, methods, and applications of regression methods, but it has been deliberately written at an accessible level. The handbook provides a quick and convenient reference or “refresher” on ideas and methods that are useful for the effective analysis of data and its resulting interpretations. Students can use the book as an introduction to and/or summary of key concepts in regression and related course work (including linear, binary logistic, multinomial logistic, count, and nonlinear regression models). Theory underlying the methodology is presented when it advances conceptual understanding and is always supplemented by hands-on examples. References are supplied for readers wanting more detailed material on the topics discussed in the book. R code and data for all of the analyses described in the book are available via an author-maintained website. "I enjoyed the presentation of the Handbook, and I would be happy to recommend this nice handy book as a reference to my students. The clarity of the writing and proper choices of examples allows the presentations ofmany statisticalmethods shine. The quality of the examples at the end of each chapter is a strength. They entail explanations of the resulting R outputs and successfully guide readers to interpret them." American Statistician

Download or read book The Analysis of Time Series written by Chris Chatfield and published by CRC Press. This book was released on 2019-04-25 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis. The book covers a wide range of topics, including ARIMA models, forecasting methods, spectral analysis, linear systems, state-space models, the Kalman filters, nonlinear models, volatility models, and multivariate models. It also presents many examples and implementations of time series models and methods to reflect advances in the field. Highlights of the seventh edition: A new chapter on univariate volatility models A revised chapter on linear time series models A new section on multivariate volatility models A new section on regime switching models Many new worked examples, with R code integrated into the text The book can be used as a textbook for an undergraduate or a graduate level time series course in statistics. The book does not assume many prerequisites in probability and statistics, so it is also intended for students and data analysts in engineering, economics, and finance.

Download or read book Handbook of Regression Analysis With Applications in R written by Samprit Chatterjee and published by John Wiley & Sons. This book was released on 2020-07-30 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook and reference guide for students and practitioners of statistical regression-based analyses in R Handbook of Regression Analysis with Applications in R, Second Edition is a comprehensive and up-to-date guide to conducting complex regressions in the R statistical programming language. The authors' thorough treatment of "classical" regression analysis in the first edition is complemented here by their discussion of more advanced topics including time-to-event survival data and longitudinal and clustered data. The book further pays particular attention to methods that have become prominent in the last few decades as increasingly large data sets have made new techniques and applications possible. These include: Regularization methods Smoothing methods Tree-based methods In the new edition of the Handbook, the data analyst's toolkit is explored and expanded. Examples are drawn from a wide variety of real-life applications and data sets. All the utilized R code and data are available via an author-maintained website. Of interest to undergraduate and graduate students taking courses in statistics and regression, the Handbook of Regression Analysis will also be invaluable to practicing data scientists and statisticians.

Download or read book Proceedings of the 2nd International Conference on Business and Policy Studies written by Canh Thien Dang and published by Springer Nature. This book was released on 2023-10-07 with total page 1874 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume contains papers accepted by the 2nd International Conference on Business and Policy Studies (CONF-BPS 2023), which are carefully selected and reviewed by professional reviewers from corresponding research fields and the editorial team of the conference. This volume presents the latest research achievements, inspirations, and applications in applied economy, finance, enterprise management, public administration, and policy studies. CONF-BPS 2023 was a hybrid conference that includes several workshops (offline and online) around the world in Cardiff (Jan, 2023), London(Feb, 2023) and Sydney (Feb, 2023). Prof. Canh Thien Dang from King's College London, Prof. Arman Eshraghi from Cardiff Business School, and Prof. Kristle Romero Cortés from UNSW Business School have chaired those offline workshop.

Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Download or read book Linear Models and Time Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-12-17 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Download or read book Essentials of Time Series for Financial Applications written by Massimo Guidolin and published by Academic Press. This book was released on 2018-05-29 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. - Provides practical, hands-on examples in time-series econometrics - Presents a more application-oriented, less technical book on financial econometrics - Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction - Features examples worked out in EViews (9 or higher)