Table of Contents

COMPUTATIONAL FINANCE

Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend.

(Proceedings of the Sixth International Conference on Computational Finance, January 6-8, 1999, New York).

Cambridge, MA: MIT Press, 1999.

A. Risk Management and Portfolio Optimization

Portfolio Optimization: a Model and Heuristic to Capture the Trade-off Between Replication Error and the Number of Instruments

Edoardo

Amaldi

Jean-Francois

Pusztaszeri

Importance Sampling and Stratification for Value-at-Risk

Paul

Glasserman

Philip

Heidelberger

Permez

Shahabuddin

Confidence intervals and hypothesis testing for the Sharpe and Treynor performance: A bootstrap approach

Matthew

Morey

H.D.

Vinod

Conditional Value at Risk

Ralph

Neuneier

Dirk

Ormoneit

Advances in Importance Sampling

Art

Owen

Yi

Zhou

Arbitrage and the APT - A Note

Sebastian

Schneider

Manfred

Steiner

Bayesian Network Models of Portfolio Risk and Return

Catherine

Shenoy

Prakash P.

Shenoy

B. Volatility

Change of measure in monte-carlo integration via gibbs sampling with an application to stochastic volatility models

Filippo

Altissimo

Comparing Models of Intra-day Seasonal Volatility in the Foreign Exchange Market

Andrea

Beltratti

Claudio

Morana

A Symbolic Dynamics Approach to Volatility Prediction

Engelbert J.

Dockner

Georg

Dorffner

Christian

Schittenkopf

Peter

Tino

Does Volatility Timing Matter?

Jeff

Fleming

Chris

Kirby

C. Time Series Methods

Goodness of Fit, Stability and Data Mining

Guillermo Llorente

Alvarez

Juan

del Hoyo

A Bayesian approach to estimating mutual fund returns

Amir F.

Atiya

Malik

Magdon-Ismail

Independent Component Ordering in ICA Analysis of Financial data

Yiu-ming

Cheung

Zhi-bin

Lai

Lei

Xu

Curved Gaussian Models with Application to Modeling Currency Exchange Rates

Peter

Dayan

Juan K.

Lin

Nonparametric Efficiency Testing of Asian Foreign Exchange Markets

Cornelis K.

Los

The Term Structure of Interactions of Foreign Exchange Rates

John

Moody

Howard

Yang

Exchange rates and fundamental evidence from out-of-sample forecasting using neutral networks

Min

Qi

D. Dynamic Trading Strategies

Trading Models as Specification Tools

Giuseppe

Ballocchi

Michel

Dacorogna

Ramazan

Gencay

Olivier

Pictet

Statistical arbitrage models of the FTSE 100

A. Neil

Burgess

Implementing Trading Strategies for Forecasting Models

A.Neil

Burgess

Neville

Towers

Using Nonlinear Neurogenetic Models with Profit Related Objective Functions to Trade the US Tbond Future

Zac

Harland

Parameter Tuning in Trading Algorithms using ASTA

Thomas

Hellstrom

Kenneth

Holmstrom

Hedge Fund Styles

David A.

Hsieh

Optimizatin of Technical Trading Strategy Using Split Search Genetic Algorithms

Paul

Lajbcygier

Raymond

Tsang

Trading Mutual funds with Piece-wise constant models

Michael

de la Maza

Minimizing Downside Risk via stochastic dynamic programming

John

Moody

Matthew

Saffell

An Optimal Binary Predictor for an Investor in a Futures Market

Dirk W.

Rudolph

An Introduction to Risk Neutral Forecasting

Spyros

Skouras

Temporal-Difference Learning and Applications in Finance

Benjamin

Van Roy

E. Heterogeneous Agents

Technical Trading Creates a Prisoner's Dilemma:  Results From an Agent-Based Model

Mark

Bedau

Shareen

Joshi

Jeffrey

Parker

Cycles of Mark Stability and Instability due to Endogenous use of Technical Trading Rules

David

Goldbaum

Relative Performance of Incentive Mechanisms in Delegated Investments: a Computational Study

T. S.

Raghu

H. R.

Rao

P. K.

Sen

F. Credit Risk

Rules Extractions from Banks Bankrupt Data Using Connectionist and Symbolic Learning Algorithms

Andre

de Carvalho

Edmar

Martinelli

Alberto

Matias

Solange

Rezende

Evaluating Bank Lending Policy and Consumer Credit Risk

Tor

Jacobson

Kasper

Roszbach

"Bank Lending Policy, Credit Scoring, and the Survival of Loans"

Kasper

Roszbach

G. Option Pricing

Estimation of Stochastic Volatility Models for the Purpose of Option Pricing

Mikhail

Chernov

Eric

Ghysel

Option Pricing via Genetic Programming

N. K.

Chidambaran

C. H.

Jevons Lee

Joaquin R.

Trigueros

Nonparametric Testing of ARCH for Option Pricing

Peter

Christoffersen

Jinyon

Hahn

A Computational framework for contingent claim pricing and hedging under time dependent asset processes

Les

Clewlow

Russell

Grimwood

A Framework for Comparative Analysis of Statistical and Machine Learning Methods:  An Application to the Black Scholes Option Pricing Equation

Jorge

Galindo-Flores

Option Pricing with the Efficient Method of Moments

George J.

Jiang

Pieter J.

van der Sluis

Option Valuation with the Genetic Programming Approach

Christian

Keber