Decision Technologies for Computational Finance

Proceedings of the fifth International Conference Computational Finance

  • Apostolos-Paul N. Refenes
  • Andrew N. Burgess
  • John E. Moody

Part of the Advances in Computational Management Science book series (AICM, volume 2)

Table of contents

  1. Front Matter
    Pages i-xi
  2. Market Dynamics and Risk

  3. Trading and Arbitrage Strategies

  4. Volatility Modeling and Option Pricing

    1. Front Matter
      Pages 193-193
    2. René Garcia, Ramazan Gençay
      Pages 195-205
    3. G. Maercker
      Pages 207-218
    4. F. González Miranda, A. N. Burgess
      Pages 219-232
    5. Jens Timmer, Andreas S. Weigend
      Pages 233-246
    6. Marie Cottrell, Eric de Bodt, Philippe Grégoire
      Pages 259-266
    7. Álvaro Veiga, Marcelo C. Medeiros, Cristiano Fernandes
      Pages 267-274
  5. Term Structure and Factor Models

  6. Corporate Distress Models

    1. Front Matter
      Pages 353-353
    2. E. F. F. Mendes, A. C. P. L. F. Carvalho, A. B. Matias
      Pages 365-371
    3. David Fairclough, John Hunter
      Pages 381-388
  7. Advances on Methodology—Short Notes

  8. Back Matter
    Pages 479-479

About this book


This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of meetings has emerged as a truly multi-disciplinary international conference and provided an international focus for innovative research on the application of a multiplicity of advanced decision technologies to many areas of financial engineering. It has drawn upon theoretical advances in financial economics and robust methodological developments in the statistical, econometric and computer sciences. To reflect its multi-disciplinary nature, the NNCM conference has adopted the new title COMPUTATIONAL FINANCE. The papers in this volume are organised in six parts. Market Dynamics and Risk, Trading and Arbitrage strategies, Volatility and Options, Term-Structure and Factor models, Corporate Distress Models and Advances on Methodology. This years' acceptance rate (38%) reflects both the increasing interest in the conference and the Programme Committee's efforts to improve the quality of the meeting year-on-year. I would like to thank the members of the programme committee for their efforts in refereeing the papers. I also would like to thank the members of the computational finance group at London Business School and particularly Neil Burgess, Peter Bolland, Yves Bentz, and Nevil Towers for organising the meeting.


Arbitrage capital market controlling dynamics econometrics finance investment learning modeling networks optimization risk management strategy time series volatility

Editors and affiliations

  • Apostolos-Paul N. Refenes
    • 1
  • Andrew N. Burgess
    • 2
  • John E. Moody
    • 3
  1. 1.London Business SchoolUK
  2. 2.London Business SchoolUK
  3. 3.Oregon Graduate InstitutePortlandUSA

Bibliographic information

  • DOI
  • Copyright Information Kluwer Academic Publishers 1998
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-0-7923-8309-3
  • Online ISBN 978-1-4615-5625-1
  • Series Print ISSN 1388-4301
  • Buy this book on publisher's site
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