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| Preface | |
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| Contributors | |
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| Introduction | |
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| Importance Sampling and Stratification for Value-at-Risk | |
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| Confidence Intervals and Hypothesis Testing for the Sharpe and Treynor Performance Measures: A Bootstrap Approach | |
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| Conditional Value at Risk | |
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| Advances in Importance Sampling | |
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| Arbitrage and the APT - A Note | |
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| Bayesian Network Models of Portfolio Risk and Return | |
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| Change of Measure in Monte Carlo Integration via Gibbs Sampling with an Application to Stochastic Volatility Models | |
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| Comparing Models of Intra-day Seasonal Volatility in the Foreign Exchange Market | |
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| A Symbolic Dynamics Approach to Volatility Prediction | |
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| Does Volatility Timing Matter? | |
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| Goodness of Fit, Stability and Data Mining | |
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| A Bayesian Approach to Estimating Mutual Fund Returns | |
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| Independent Component Ordering in ICA Analysis of Financial Data | |
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| Curved Gaussian Models with Application to Modeling Foreign Exchange Rates | |
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| Nonparametric Efficiency Testing of Asian Foreign Exchange Markets | |
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| Term Structure of Interactions of Foreign Exchange Rates | |
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| Exchange Rates and Fundamentals: Evidence from Out-of-Sample Forecasting Using Neural Networks | |
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| Trading Models as Specification Tools | |
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| Statistical Arbitrage Models of the FTSE 100 | |
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| Implementing Trading Strategies for Forecasting Models | |
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| Using Nonlinear Neurogenetic Models with Profit Related Objective Functions to Trade the US T-bond Future | |
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| Parameter Tuning in Trading Algorithms Using ASTA | |
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| Hedge Funds Styles | |
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| Optimization of Technical Trading Strategy Using Split Search Genetic Algorithms | |
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| Trading Mutual Funds with Piece-wise Constant Models | |
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| Minimizing Downside Risk via Stochastic Dynamic Programming | |
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| An Optimal Binary Predictor for an Investor in a Futures Market | |
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| An Introduction to Risk Neutral Forecasting | |
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| Temporal-Difference Learning and Applications in Finance | |
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| Technical Trading Creates a Prisoner's Dilemma: Results from an Agent-Based Model | |
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| Cycles of Market Stability and Instability Due to Endogenous Use of Technical Trading Rules | |
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| Relative Performance of Incentive Mechanisms in Delegated Investments: A Computational Study | |
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| Rules Extractions from Banks' Bankrupt Data Using Connectionist and Symbolic Learning Algorithms | |
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| Evaluating Bank Lending Policy and Consumer Credit Risk | |
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| Loan Duration and Bank Lending Policy | |
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| Estimation of Stochastic Volatility Models for the Purpose of Option Pricing | |
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| Option Pricing via Genetic Programming | |
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| Nonparametric Testing of ARCH for Option Pricing | |
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| A Computational Framework for Contingent Claim Pricing and Hedging under Time Dependent Asset Processes | |
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| A Framework for Comparative Analysis of Statistical and Machine Learning Methods: An Application to the Black-Scholes Option Pricing Equation | |
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| Option Pricing with the Efficient Method of Moments | |
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| Option Valuation with the Genetic Programming Approach | |
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| Contact Information | |
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| Keyword Index | |