Advertisement

© 1998

Decision Technologies for Computational Finance

Proceedings of the fifth International Conference Computational Finance

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

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

About this book

Introduction

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.

Keywords

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

  • Book Title Decision Technologies for Computational Finance
  • Book Subtitle Proceedings of the fifth International Conference Computational Finance
  • Editors Apostolos-Paul N. Refenes
    Andrew N. Burgess
    John E. Moody
  • Series Title Advances in Computational Management Science
  • DOI https://doi.org/10.1007/978-1-4615-5625-1
  • Copyright Information Kluwer Academic Publishers 1998
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-0-7923-8308-6
  • Softcover ISBN 978-0-7923-8309-3
  • eBook ISBN 978-1-4615-5625-1
  • Series ISSN 1388-4301
  • Edition Number 1
  • Number of Pages XI, 479
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Finance, general
    Economic Theory/Quantitative Economics/Mathematical Methods
    Econometrics
  • Buy this book on publisher's site
Industry Sectors
Pharma
Automotive
Chemical Manufacturing
Finance, Business & Banking
Consumer Packaged Goods
Engineering