[1] Feedforward and Recurrent Neural Networks and Genetic Programs
for Stock Market and Time Series Forecasting, P.C.McCluskey, 1993
[2] Clustering of the Self-Organizing Map , Juha Vesanto , 2000
[3] The Learning Vector Quantization Program Package, T.Kohonen,
1996
[4] A Neural Network Model for Gold Market, P.J.McCann, B.L.Kalman,1993
[5] Prediction Risk and Architecture Selection for Neural Networks,
J.Moody, 1994
[6] Economic Forecasting: Challenges and Neural Network Solutions,
J.Moody, 1995
[7] Neural Networks in Economics: Background, Applications and
New Developments, R.Herbrich et.al., 1999
[8] Incorporating Prior Knowledge About Financial Markets Through
Neural Multitask Learning, K.Bartlmae et.al., 1995
[9] Neural Networks for Time Series Processing, G.Dorffner, 1996
[10] Stock Price Prediction Using Neural Networks, F.W.Op't Landt,
MSc. thesis, 1997
[11] Rprop - Description and Implementation Details, M.Riedmiller,
1994
[12] The Self-Organizing Map Program Package, T.Kohonen, 1996
[13] On the Analysis of Pattern Sequences by Self-Organizing Maps,
J.Kangas, 1994
[14] Dependency Analysis and Neural Network Modeling of Currency
Exchange Rates, I.Pi, 1993
[15] Forecasting the 30-year U.S. Treasury Bond with a System of
Neural Networks, W.Cheng et.al., 1996
[16] Optimal Asset Allocation using Adaptive Dynamic Programming,
R.Neunejer, 1995
[17] A Nonparametric Approach to Pricing and Hedging Derivative
Securities Via Learning Networks, J.M.Hutchinson et.al., 1994
[18] Comparative Study of Stock Trend Prediction
Using Time Delay, Recurrent and Probabilistic Neural Networks , Danil V. Prokhorov, 1998
[19] Forecasting Financial Markets using Neural Networks: an Analysis
of Methods and Accuracy, J.Kutsurelis, 1998
[20] On Developing a Financial Prediction System:
Pitfalls and Possibilities , Stefan Zemke
[21]
A Case Study on Using Neural Networks to Perform
Technical Forecasting on FOREX, J.Yao and C.Tan, 1999
[22]
A Comparative Study on Feedforward and Recurrent Neural
Networks in Time Series Prediction using Gradient
Descent Learning, M.Hallas, G.Dorffner, 1997
[23]
An Explicit Feature Selection Strategy for Predictive
Models of the S&P 500 Index, T.Chenoweth et.al.,
1996
[24]
Forecasting Price Increments Using an Artificial Neural
Network, F.Castiglione, 2000
[25]
A Multi-Component Nonlinear Prediction System for the S&P
500 Index, T.Chenoweth and Z.Obradovic, 1996
[26]
Training Neural Networks Beyond the Euclidean Distance,
Multi-Objective Neural Networks using Evolutionary Training,
1999
[27]
Pattern Matching and Neural Networks Based Hybrid Forecasting
System, A.Singh and J.Fieldsend, 2000
[28]
An Artificial Neural Network Primer with Financial
Applications Example in Financial Distress Predictions and
Foreighn Exchange Hybrid Trading System, C.Tan, 1997
[29]
A Hybrid Financial Trading System Incorporating Chaos Theory,
Statistical and Artificial Intelligence/Soft Computing
methods, C.Tan, 1999
[30]
Time Series Prediction and Neural Networks, N.davey et.al.,
1997
[31]
Foreign Exchange Rates Forecasting with Neural Networks , Jingtao Yao, Hean-Lee Poh, Teo Jasic ,1996
[32]
A Constrained Neural Network Kalman Filter for Price Estimation in High Frequency
Financial Data, P.J.Bolland and J.T.Connor, 1997
[33]
A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear
Models and Artificial Neural Networks,
N.R.Swanson and H.White, 1995
General optimization
[1] Mathematical Optimization, Computational Science Education
Project, 1995
[2]
A New Branch-and-Bound Method for Global Optimization,
K.Madsen and S.Zertchaninov, 1998
[1]
On the hardness of the Quadratic Assignment Problem with meta-heuristics , Eric Angel, Vassilis Zissimopoulos , 1997
[2]
A Comparison of Stochastic Search Heuristics for Portfolio Optimization,
R.Freedman and R.DiGiorgio, 1993
[1] Dempster-Shafer clustering using Potts spin mean field theory
M. Bengtsson , J. Schubert , 2001
[2] Neural Networks for Optimization Problems with Inequality Constraints
- the Knapsack Problem, M.Ohlsson et.al, 1992
[3] Mean Field Limit Theorems for CDMASystems , Tim Holliday
[4] Combinatorial Optimization with Feedback Artificial Neural
Networks, C.Peterson, 1995
[5] Neural Optimization, C.Peterson, 1998
[6] An Efficient Mean Field Approach to the Set Covering Problem,
M.Ohlsson et.al, 1999
[1] Would Evolutionary Computation Help in Designs of Artificial
Neural Nets in Forecasting Financial Time Series, Shu-Heng Chen,
Chun-Fen Lu, 1999
[2] Evolutionary Algorithms for Neural Network Design and Training,
J.Branke, 1995
[3] Evolving Artificail Neural Networks, X.Yao, 1999
[4] Evolution of Trading Rules for the FX Market or How to Make
Money out of GP, H.Jonsson et.al., 1997
[5] The Hitch-Hiker's Guide to Evolutionary Computing, J.Heitkotter
et.al., 1999
[6] Genetic Algorithms Overview, F.Busetti, 2000 [7]
Investment Decision Making Using FGP: A Case Study, J.Li and
E.Tsang, 1999
[7] Investment Decision Making Using FGP: A Case Study, J.Li and P.K.Tsang, 1999
[8]
Using Genetic Algorithms for Robust Optimization in Financial
Applications, O.V.Pictet et.al., 1995
[9]
The Importance of Simplicity and Validation in Genetic
Programming for Data Mining in Financial Data, J.D.Thomas and
K.Sycara, 1999
[10]
Using Genetic Algorithms for Defining an Initial Shares
Portfoliom R.Vieira and R.Wazlawick, 1995
[1] Fractals and Intrinsic Time - A Challenge to Econometrics, U.A.Muller et.al., 1995
[2]
Interdisciplinary Application of Nonlinear Time Series
Methods, T.Schreiber, 1998
[3]
Kolmogorov Entropy from Time Series using
Information-Theoretic Functionals, M.palus, 1997
[4]
Chaotic time series. Part I: Estimation of some Invariant
Properties in State Space, D.Kugiumtzis et.al., 1995
[5]
Chaotic Time Series. Part II: System Identification and
Prediction, B.Lillekjendlie, 1995
[6]
Testing for Nonlinearity Using Redundancies: Quantitative and Qualitative
Aspects, M.Palus, 1995
[7]
Multifractality in Asset Returns: Theory and Evidence, L.Calvet and A.Fisher, 2001
[8]
Deterministic Chaos in Exchange Rates?, M.Bask, 1996
[9]
A Langevin Approach to Stock Market Fluctuations and Crashes, J.P.Bouchad and R.Cont, 1998
[10]
Scaling Transformation and Probability Distributions for Financial Time Series,
M.Brachet, et.al., 1997
[11]
Large Deviations and the Distribution of Price Changes, L.Calvet, A.Fisher and B.Mandelbrot, 1997
[12]
Scaling in Stock Market Data: Stable Laws and Beyond, R.Cont, M.Potters and JP.Bouchaud, 1997
[13]
The Distribution of Extremal Foreigh Exchange Rate Returns in Extremely Lasrge Data Sets,
M.Dacorogna, et.al., 1995
[14]
Predicting the Occurrence of Rare Events, M.Dacorogna, 1998
[15]
Crashes as Critical Points, A.Johansen et.al., 1998
[16]
Modeling the Stock Market Prior to Large Crashes, A.Johansen et.al., 1998
[17]
Apparent Multifractality in Financial Time Series, J.P.Bouchaud, et.al., 1999
[18]
Is There Chaos in the World Economy? A Test Using Nonparametric Regression,
M.Shintanim and O.Linton, 2000
[1] An Artificial Market Model of a Foreign Exchange Market, K.Izumi,
Ph.D. thesis, 1999
[2]
Asset Pricing Under Endogenous Expectations in an
Artificial Stock Market, W.Brian et.al., 1996
[3]
An Artificial Stock Market, R.G.Palmer et.al., 1999
[4]
Cooperative Multiagent search for Portfolio Selection,
D.C.Parkes and B.A.Huberman, 1999
[5]
Artificial Economic Life: A Simple Model of a Stockmarket,
R.G.Palmer et.al., 1993
[6]
Emergent Phenomena in a Foreign Exchange Market: Analysis
Based on an Artificial Market Approach, K.Izumi and K.Ueda,
1998
[1] Quasi-Monte Carlo Approaches to Option Pricing, J.Birge, 1996
[2] Efficient Monte Carlo Pricing of Basket Options, P.Bellizzari, 1998
[3] Monte Carlo Pricing
[4]
Testing the Models of Stock Price Processes Using Monte Carlo Markov Chain
Method, W.Chen, 1998
[5]
Path Generation for Quasi-Monte Carlo Simulation of
Mortgage Backed Securities, F.Akersson and J.Lehoczky,
2000
[6]
Applications of Monte Carlo/Quasi-Monte Carlo Methods in
Finance: Option Pricing, Y.Lai and J.Spanier, 1999
[7]
Variance Reduction of Monte Carlo and Randomized Quasi-Monte Carlo
Estimators for Stochastic Volatility Models in Finance, H.Ben Ameur et.al.,
1999
[8]
Markov Chain Monte Carlo Calibration of Stochastic Volatility Models, X.Ge and C.Ji, 2000
[1] Time Series Analysis, E.Bradley,
1999
[2]
Financial Time Series Forecasts using Fuzzy and Long Memory
Pattern Recognition Systems, S.Singh and J.Fieldsend, 2000
[3]
Pricing Foreign Currency and Cross-Currency Options Under
GARCH, J.Duan et.al., 1999
[4]
Fuzzy Nearest Neighbour Method for Time-Series Forecasting,
S.Singh, 1998
[5]
Neural Networks for Time Series Processing, G.Dorffner, 1997
[6]
Detecting Nonlinearity in Multivarite Time Series, M.Palus,
1996
[7]
Estimating Predictability: Redundancy and Surrogate Data Method, M.Palus
et.al., 1995
[8]
From Nonlinearity to Predictability, M.Palus and D.Novotna, 1997
[9]
Time Series Data Mining: Identifying Temporal Patterns for
Characterization and Prediction of Time Series Events, R.J.Povinelli, 1999
[10]
Dynamic Time-Series Forecasting Using Local Approximation, S.Singh and
P.McAtackney, 1998
[11]
A Long Memory Pattern Modeling and Recognition System for Financial
Time-Series Forecasting, S.Singh, 1999
[12]
Noisy Time-Series Prediction using Pattern Recognition Techniques, S.Singh,
2000
[13]
Time Series for Macroeconomics and Finance, J.Cochrane, 1997
[14]
Bayesian Time Series: Financial Models and Spectral Analysis, Y.Chen, 1997
[15]
Multivariate Long-Memory ARCH Modelling for High Frequency Foreign Exchange Rates, G.Teyssiere, 1998
[16]
Structural Changes in the Cointegrated Vector Autoregressive Model, P.R.Hansen, 2000
[1] Term Structure Estimation: An Implied Norm
Approach. Negative Option Prices - A Puzzle or Just Noise? I.D.Ioffe et.al.,
2000
[2]
Arbitrage Restrictions and Multi-Factor Models of the Term Structure of
Interest Rates, R.Stapleton, 1994
[3]
Using Hull-White Interest-Rate Trees, J.Hull and A.White, 1996
[4]
Time-varying Risk Aversion, Unexpected Inflation and the Dynamics of the
Term Structure, M.Brandt and K.Wang, 1999
[5]
The Bias in the Conventional Test of the Expectations Theory: Resolving the Anomalies
at the Very Short End of the Term Structure, D.L.Thornton, 2000
[6]
The Expectations Theory and the Founding of the Fed: Another Look at the Evidence,
C.J.M.Kool and D.L.Thornton, 2000
[7]
Deriving Agent's Inflation Forecasts from the Term Structure of Interest Rates,
C.Ragan, 1995
[8]
The Information in the Term Structure of Interest Rates:Further Results for Germany,
G.Boero and C.Torricelli, 1998
[1] Dynamic Consumption and Portfolio Choice with Stochastic Volatility
in Incomplete Markets, G.Chacko and L.Viceira, 1999
[2] Index Tracking: Genetic Algorithms for Investment Portfolio
Selection, J.Shapcott, 1992
[3] Heuristic Algorithms for the Portfolio Selection Problem with
Minimum Transaction Lots, R.Mansini and M.G.Speranza, 1999
[4] Enhancing Portfolio Performance Using Options Strategies. Why
Beating the Market Is Easy. F-S.Lhabitant, 1998
[5]
Optimal Portfolio Choice Under Loss Aversion, A.Berkelaar and R.Kouwenberg,
2000
[6]
Universal Portfolios With and Without Transaction Costs,
A.Blum and A.Kalai, 1997
[7]
Portfolio Selection with Downside Risk Measures
[8]
Universal Portfolios, T.M.Cover, 1996
[9]
Portfolio Advice for a Multifactor World, J.H.Cochrane, 2000
[10]
On-Line Portfolio Selection Using Multiplicative Updates,
D.P.Helmbold, 1998
[11]
Portfolio Selection Problem with MiniMax Type Risk Function,
K.L.Teo and X.Q.Yang, 1999
[12]
Scenario Selection and Stochastic Programming Models for Asset
Liability management, R.Kouwenberg, 1998
[13]
Optimal Dynamic Portfolio Selection: Multi-Period Mean-Variance
Formulation, D.Li et.al., 1998
[14]
On the Explanatory Power of Asset Pricing Models Across and Within
Portfolios, R.Kan, 1999
[15]
Optimal Investing in Incomplete Financial Markets, W.Schachermayer, 2000
[1] Heuristics for Cardinality Constrained Portfolio Optimization,
T.J.Chang et.al., 1999
[2] Heuristic Approaches for Portfolio Optimization, M.Gilli and
E.Kellezi, 2000
[3]
Optimal Hedging Strategy for a Portfolio Investment Problem
with Additional Constraints, N.Dokuchaev and K.Teo, 1999
[4]
Optimal Portfolios for LogarithmicUtility, T.Goll and
J.Kallsen, 2000
[5]
Dynamic Portfolio Insurance: A Stochastic Programming
Approach, R.Kouwenberg and T.Vorts, 1998
[6]
Duality Links between Portfolio Optimization and Derivative
Pricing, J.Kallsen, 1999
[7]
Optimal Portfolios for Exponential Levy Processes, J.Kallsen,
1999
[8]
Extending the MAD Portfolio Optimization Model to Incorporate
Downside Risk Aversion, W.Michalowski, 1998
[9]
Portfolio Analysis Using Downside Risk Minimization, D.M.Ros et.al., 1998
[10]
A Monte carlo Method for Optimal Portfolios, J.Detemple et.al, 2000
[11]
Practical Portfolio Optimization, K.V.Fernando, 2000
[12]
Stochastic-Programming Models for Portfolio Optimization with
Mortgage-Backed Securities, R.McKendall, 1993
[13]
Taming Your Optimizer: A Guide Through the Pitfalls of Mean-Variance Optimization, S.L.Lummer, et.al., 1994
[1] International CAPM with Regime Switching GARCH Parameters, L.Cappiello
and T.A.Fearnly, 2000
[2] Do Fixed Income Securities Also Show Asymmetric Effects in Conditional
Second Momets, L.Cappiello, 2000
[3] Optimal International Diversification: Theory and Practice from
a Swiss Investor's Perspective, F.Hamelink, 2000
[4] Capital Asset Pricing Model and Changes in Volatility, A.O.Santos,
1998
[5]
New Facts in Finance, J.H.Cochrane, 2000
[6]
Explaining the Poor Performance of Consumption-based Asset
Pricing Models, J.Campbell and J.H.Cochrane, 2000
[7]
Covariability, Multivariability and Flexibility: Conditional
CAPM and Time-Varying Risk Premia, G.Lim et.al., 1998
[1] Exchange Rate Returns
Standardized by Realized Volatility are (Nearly) Gaussian T.Andersen et.al., 1999
[2]
Towards a Theory of Volatility Trading, P.Carr and D.Madan,
1998
[3]
Forecasting S&P 100 Volatility: The Increment Information
Content of Implied Volatilities and High Frequency Index
Returns, B.J.Blair et.al., 2000
[4]
Derivatives on Volatility: Some Simple Solutions Based on
Observables, S.L.Hestib and S.Nandi, 2000
[5]
Consequences for Option Pricing of a Long Memory in
Volatility, S.J.Taylor, 2000
[6]
Forward rate Volatilities, SWAP Rate Volatilities, and the Implementation
of the LIBOR Market Model, J.Hull and A.White, 1999
[7]
Nonlinear Features of Realized FX Volatility, J.Maheu and T.McCurdy, 2001
[8]
Volatility Dynamics under Duration-dependent Mixing, J.Maheu and T.McCurdy,
2000
[9]
Identifying Bull and Bear Markets in Stock Returns, J.maheu and T.McCurdy,
2000
[10]
Modeling and Forecasting Realized Volatility, T.Andersen et.al., 2001
[11]
The Realized Volatility of FTSE-100 Futures Prices, N.Areal and S.Taylor,
2000
[12]
The Dynamics of Stochastic Volatility: Evidence from Underlying and Option
Markets, C.S.Jones, 2000
[13]
Dynamic Hedging in a Volatile Market, T.F.Coleman et.al., 1999
[14]
Implied Trinomial Trees of the Volatility Smile, E.Derman et.al., 1996
[15]
Expectations Hypothesis of the Term Structure of Implied Volatility: Re-examination,
S.Byoun et.al., 1999
[16]
The Price of a Smile: Hedging and Spanning in Option Markets,
A.Buraschi and J.jackwerth, 2000
[17]
Implied Volatility Skews and Stock index Skewness and Kurtosis Implied by S&P500
Index Option Prices, C.J.Corrado and t.Su, 1997
[18]
The Distribution of Stock Return Volatility, T.G.Andersen et.al., 2000
[19]
Modeling and Forecasting Realized Volatility, T.G.Andersen et.al., 2001
[20]
The Distribution of Exchange Rate Volatility, T.G.Andersen et.al., 1999
[21]
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied
Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000
[22]
Forecasting the Variability of Stock Index Returns with Stochastic Volatility
Models and Implied Volatility, E.Hol and S.L.Koopman, 2000
[23]
Tree Structured GARCH Models, F.Audrino and P.Buhlmann, 2000
[24]
Nonparametric GARCH Models, P.Buhlmann and A.J.McNeil, 1999
[1] Economic Implications of Using a Mean-VaR Model for Portfolio
Selection: A Comparison with Mean-Variance Analysis, G.J.Alexander,
A.M.Baptista, 2000
[2]
Value-at-Risk: a Multivariate Switching Regime Approach, M.Billio,
L.Pelizzon, 2000
[3]
The Ten Great Challenges of Risk Management, C.Batlin and B.Schachter,
2000
[4]
Value at Risk Models for Dutch Bond Portfolios, P.J.G.Vlaar, 1999
[5]
Non-Linear Value-at-Risk, M.Britten-Jones and S.M.Schaefer, 1999
[6]
Asset Allocation in a Value-at-Risk Framework, R.Huisman et.al, 1999
[7]
Evaluation of Value-at-Risk Models Using Historical Data, D.Hendricks,
1996
[8]
A Simplified Method for Calculating the Credit Risk of Lending Portfolios,
A.Ieda et.al., 2000
[9]
Value at Risk Using Hyperbolic Distributions, C.Bauer, 2000
[10]
Market Risk: An Introduction to the Concept & Analytics of
Value-at-Risk, J.Frain and C.Meegan, 1996
[11]
Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be, X.Ju and
N.D.Pearson, 1998
[12]
Credit Risk Optimization with Conditional Value-at-Risk Criterion,
F.Andersson and S.Uryasev, 1999
[13]
An Integrated Market and Credit Risk Portfolio Model, I.Iscoe et.al., 1999
[14]
Assessing VaR Accuracy, K.Dowd, 2000
[15]
Measuring DAX Market Risk: A Neural Network Volatility Mixture Approach,
K.Bartlmae, F.A.Rauscher, 2000
[16]
Value-at-Risk (VaR), S.Benninga and Z.Wiener, 1998
[17]
Managing Market Risk in Banks, 1996
[18]
Value-at-Risk and Extreme Returns, J.Danielsson et.al., 2000
[19]
Taking VaR to Pieces, M.Garman, 1997
[20]
Optimization of Conditional Value-at-Risk, R.T.Rockafellar and S.Uryasev,
1999
[21]
An Overview of Value at Risk (1), D.Duffie and J.Pan, 1997
[22]
VaR Calculations for Derivatives (2), D.Duffie and J.Pan, 1997
[23]
Appendices (3), D.Duffie and J.Pan, 1997
[24]
Extreme Behavior of Diffusion Models in Finance, M.Borkovec, 1998
[25]
Value-at-Risk Analysis and Least Squares Tail Index Estimation, R.W.J van
den Goorbergh, 1999
[26]
Equity Allocation and Portfolio Selection in Insurance: A Simplified
Portfolio Model, E.Taflin, 2000
[27]
How to Measure Risk, G.Ch.Pflug, 1997
[28]
Filtering Historical Simulation. Back-test Analysis, G.Barone-Adesi, 2000
[29]
Conditional Value-at-Risk: Optimization Algorithms and Applications,
S.Uryasev, 2000
[30]
Non-Parametric VaR Techniques. Myths and Realities, G.Barone-Adesi, 2000
[31]
Value-at-Risk When Daily Changes in Market Variables are Not Normally
Distributed, J.Hull and A.White, 1997
[32]
Incorporating Volatility Updating into the Historical Simulation Method
for Value-at-Risk, J.Hull and A.White, 1998
[33]
Horizon Problems and Extreme Events in Financial Risk Management,
P.F.Christoffersen et.al., 1998
[34]
Portfolio Optimization with Conditional Value-at-Risk Objective and
Constraints, J.Palmquist at.al., 1999
[35]
Value-at-Risk Analysis of a Leveraged Swap, S.Srivastava, 1998
[36]
Tracking Error and Value-at-Risk, 1997
[37]
Value-at-Risk and Mixture Distributions, 1998
[38]
Value-at-Risk: On the Stability and Forecasting of the Variance-Covariance
Matrix, J.Engek and M.Gizycki, 1999
[39]
References from D.Duffie and J.Pan,
1997
[40]
Monte Carlo within a Day, J.Cardenas et.al., 1999
[41]
An Analysis Framework for Bank Capital Allocation, N.Baud et.al, 2000
[42]
VaR and the Unreal World, R.Hoppe, 1998
[43]
Extreme Value Theory in Finance and Ensurance, P.Embrechts, 1999
[44]
Developing Scenarios for Future Extreme Losses Using the POT Model,
A.J.McNeil and T.Saladin, 1998
[45]
Extreme Value Theory as a Risk Management Tool, P.Embrechts et.al., 1996
[46]
Value-at-Risk Analysis of Stock Returns. Historical Simulations, Variance
Technique or Tail Index Estimation, R. van den Goorbergh and P.Vlaar, 1999
[47]
Finding Optimal Portfolios with Constraints on Value-at-Risk,
A.A.Gaivoronski and G.Pflug, 1998
[48]
Decomposing Portfolio Value-at-Risk: A General Analysis, W.G.Hallerbach,
1999
[49]
Value-at-Risk in Portfolio Management, P.Gugi et.al., 1999
[50]
Estimating Value-at-Risk with a Precision Measure by Combining Kernel
Estimation with Historical Simulations, J.S.Butler and B.Schachter, 1997
[51]
Value-at-Risk and Derivatives Risk, E.Falkenstein, 1997
[52]
Measuring Risk with Extreme Value Theory, R.L.Smith, 1998
[53]
Reliability of Neural Network Based Value-at-Risk Estimates, R.Prinzler,
1999
[54]
Value-at-Risk for Asset managers, C.L.Culp et.al., 1999
[55]
Analytical Value-at-Risk with Jumps and Credit Risk, D.Duffie
and J.Pan, 1999
[56]
Portfolio Selection with Limited Downside Risk, D.W.Jasen et.al., 2000
[57]
Comparing Different Methods for Estimating Value-at-Risk (VaR) for Actual
Non-Linear Portfolios: Empirical Evvidence, M.Coronado, 2000
[58]
Value-at-Risk Based Portfolio Optimization, A.V.Puelz, 1999
[59]
A Probabilistic Approach to Worst Case Scenarios, G.Barone-Adesi et.al,
1997
[60]
Bank Capital and Value-at-Risk, P.Jackson et.al., 1998
[61] Recovery Risk in Stock Returns, A.Akgun and R.Gibson, 1999
[62] Extreme Value Thory for Tail-Related Risk Measures, R.Kellezi
and M.Gilli, 2000
[63] Evolution of Market Uncertainty around Earnings Announcements,
D.Isakov, C.Perignon, 2000
[64]
New Insights into Smile, Mispricing and Value at Risk: the Hyperbolic
Model, E.Eberlein and U.Keller, 1997
[1] Application of Simple Trading Rules to Swiss Stock Prices.
Is It Profitable? D.Isakov and M.Hollistein, 2000
[2]
CUSUM Techniques for Technical Trading in Financial Market
[3]
Embedding Technical Analysis into Neural Network Based Trading Systems,
T.Chenoweth et.al., 1997
[4]
Neural Networks for Technical Ananlysis: A Stidy on KLCI, J.Yao et.al.,
1996
[5]
Predicting the Stock Market, T.Hellstrom, 1998
[6]
Data-Snooping, Technical trading Rule Performance, and Bootstrap,
R.Sullivan et.al., 1997
[7]
Technical Trading Rules in the European Monetary System,
C.J.Neely and P.A.Weller, 1998
[8]
Technical Analysis in the Foreign Exchange Market: A Layman's Guide,
C.J.Neely, 1997
[9]
Financial Returns and Efficiency as seen by an Artificial Technical Analyst,
S.Skouras, 1998
[1] Systematic Patterns Before and After Large Price Changes: Evidence
From High Frequency Data from Paris Bourse, F.Hamelink, 1999
[2]
Predictable Patterns in Stock Returns, T.Hellstrom, 1997
[3]
Asymmetric Cross-Sectional Dispersion in Stock Returns: Evidence and Implications,
G.R.Duffee, 2000
[1] Who Should Buy Long-Term Bonds? J.Y.Campbell and L.M.Viceira,
1998
[2]
A Note on Risky Bond Valuation, C.H.Hui and C.F.Lo, 2000
[3]
Vulnerable Options, Risky Corporate Bonds and Credit
Spread, M.Cao and J.Wei, 2000
[4]
Valuation of Defaultable Bonds Using Signal Processing -
An extension, C.Lo and C.Hui, 1999
[1]
Credit Spread Specification and the Pricing of Spread Options,
N.Mougeot, 2000
[2]
Option Pricing and Replication with Transaction Costs and Devidends,
S.Perrakis and J.Lefoll, 1999
[3]
General Properties of Option Prices, Y.Z.Bergman et.al., 1996
[4]
On the Nature of Options, P.Carr and D.Madan, 2000
[5]
Hedging Options under Transaction Costs and Stochastic Volatility,
J.Gondzio et.al., 2000
[6]
A Test of the Use of the Implied Volatility Function Model to Price Exotic
Options, J.Hull and W.Suo, 2000
[7]
A Methodology for Assessing Model Risk and its Application to the Implied
Volatility Function Model, J.Hull and W.Suo, 2000
[8]
New Methodology for Valuing Derivatives, S.H.Paskov, 1997
[9]
Numerical Valuation of High Dimensional Multivariate American Securities,
J.Barraquand and D.Martineau, 1994
[10]
Good-dela Option Price Bounds with Stochastic Volatility and Stochastic
Interest Rate, J.H.Cochrane and J.Saa-Requejo, 1999
[11]
Valuation of the American Put Option: a Dynamic Programming Approach,
L.Garlappi, 1996
[12]
Option Pricing Implication of a Stochastic Jump Rate, H.Fang, 2000
[13]
Jumping in Line, G.Albanese et.al., 2000
[14]
Pricing Exotics under the Smile, M.Jex et.al., 1999
[15]
Valuing Options on Baskets of Stocks and Forecasting the Shape of Volatility Skews,
J.Z.Zou, 2000
[16]
The Pricing of Options Depending on a Discrete Maximum, E.Nahum, 1998
[17]
Back to Basics: Historical Option Pricing Revisited, J.P.Bouchaud and M.Potters, 1998
[18]
A Numerical Procedure for Pricing American-style Asian Options, H.B.Ameur et.al., 2000
[19]
Hedging Complex Barrier Options, P.Carr and A.Chou, 1997
[20]
Path-Dependent Multicurrency Interest Rate Derivatives, M.Chu, 1998
[21]
Closed Form Valuation of American Barrier Options, E.G.Haug and P.Patners, 2000
[22]
Competetive Monte Carlo Methods for the Pricing of Asian Options, B.Lapeyre and E.Tamam, 2000
[23]
Consequences for Option Pricing of a Long Memory in Voaltility, S.J.Taylor, 2000
[24]
Convergence of Lattice and PDE Methods for Pricing Asian Options, P.A.Forsyth et.al., 1998
[25]
Pricing Interest Rate Derivatives: A General Approach, G.Chacko and S.Das, 1999
[26]
Hedging Options under Transaction Costs and Stochastic Volatility, J.Gondzio et.al., 2000
[27]
Barrier Put-Call Transformation, E.G.Haug, 1999
[28]
Very Fast Algorithm for Barrier Option Pricing and the Ballot Problem,
Y.D.Lyuu, 1998
[29]
Pricing of Asian Exchange Rate Options Under Stochastic Interest Rates As a Sum of
Delayed Payment Options, J.A.Nielsen and K.Sandmann, 1999
[30]
Approximate Option Pricing, P.Chalasani, et.al., 1997
[31]
Binomial Models for Option Valuation - Examining and Improving Convergence,
D.Leisen and M.Reimer, 1995
[1]
From Utility Maximization to Arbitrage Pricing and Back,
A.E.MacKay, E.Z.Prisman, 2000
[2]
Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete
Markets, J.H.Cochrane and J.Saa-Requejo, 1999
[3]
Insider Information, Arbitrage and Optimal Portfolio and
Consumption Policies, M.Rindisbacher, 2000
[4]
Option Pricing, Arbitrage and Martingales, A.Pelsser and T.Vorst, 1997
[5]
A Robust Non-Linear Multivariate Kalman Filter for Arbitrage Identification in
High-Frequency Data, P.J.Bolland and J.T.Connor, 1996
