Financial Engineering and Applications    (FEA 2004)

November 8 – 10, 2004
MIT, Cambridge, USA
Editor(s): M.H. Hamza
Other Years:

Abstracts may contain minor errors and formatting inconsistencies.
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Track Derivatives FreeSubscription
437-012 Valuation of CEV Barrier Options with Time-Dependent Model Parameters
C.F. Lo, H.M. Tang, K.C. Ku, and C.H. Hui (PRC)
Abstract
437-018 An Efficient Calibration Method for the Multi-Factor Libor Market Model
H. Tanimura (Japan)
Abstract
437-021 Causal Relationship between Speculative Activity and Spot Market Volatility
T.M. Sony and M. Thenmozhi (India)
Abstract
437-026 Pricing of Asian Options on Interest Rates in the CIR Model
A. Dassios and J. Nagaradjasarma (UK)
Abstract
437-027 Pricing S&P 500 Options using the Implied Volatility Tree: Evidence from the Kernel-Regression Volatility Surface
Y.-N. Lin and K. Hung (Taiwan)
Abstract
437-029 A Convergent Quadratic-Time Lattice Algorithm for Pricing European-Style Asian Options
W.W. Hsu and Y.-D. Lyuu (Taiwan)
Abstract
437-041 Cascade Calibration of the LIBOR Market Model
D. Brigo and M. Morini (Italy)
Abstract
437-044 Effect of Higher Order Moments on Hedging Loss Value-at-Risk and Conditional Value-at-Risk
Y. Yamada (Japan) and J.A. Primbs (USA)
Abstract
437-052 Valuing Default Swaps on Correlated LMM Processes
J. Kettunen and G. Meissner (USA)
Abstract
437-069 The Value of a Storage Facility
S.D. Hodges (UK)
Abstract
437-070 Properties of Game Options: Research Announcement
E. Ekström (Sweden)
Abstract
Track Risk Analysis and Portfolio Management FreeSubscription
437-028 Analytic Approximation to Loss Distributions of Heterogeneous Portfolios
H. Zheng (UK)
Abstract
437-032 The Engineering of a Dynamic VaR
F. Lamantia and D. Rossello (Italy)
Abstract
437-035 On Bias of Testing Merton's Model
H.Y. Wong and K.L. Li (PRC)
Abstract
437-036 Strategic Portfolio Management with Coherent Risk Measures for Dynamic Asset Models
F. Herzog, H.P. Geering, and L.M. Schumann (Switzerland)
Abstract
437-039 Turnover of Quantitatively-managed Equity Portfolios
E. Qian, R. Hua, and J. Tilney (USA)
Abstract
437-045 Predicting Performance and Quantifying Corporate Governance Risk for Latin American ADRs and Banks
G. Creamer and Y. Freund (USA)
Abstract
437-049 The Term Structure of Credit Risk in Project Finance
M. Sorge and B. Gadanecz (Switzerland)
Abstract
437-053 Strategic Allocation of Liquidity in the Inter-Bank Money Market
I. Mallick (India)
Abstract
Track Hedging FreeSubscription
437-023 Analysis Tools and Techniques for Dynamic Hedging under Transaction Costs
J.A. Primbs (USA) and Y. Yamada (Japan)
Abstract
437-058 Strategic Hedging by a Large Player
A. Kalife (France)
Abstract
437-063 Dynamic Asset Allocation in Portfolios including Alternative Investments
S. Keel, F. Herzog, and H.P. Geering (Switzerland)
Abstract
437-068 Dynamic Hedging with Transaction Costs using Receding Horizon Control
P.J. Meindl and J.A. Primbs (USA)
Abstract
437-078 Stochastic Local Volatility
C. Alexander (UK) and L.M. Nogueira (Brazil)
Abstract
Track Financial Forecasting FreeSubscription
437-014 Combining Ontogenetic and Phylogenetic Learning: Optimizing Financial Applications through Biologically-inspired Methods
M. Versace, R. Bhatt, O. Hinds, and M. Shiffer (USA)
Abstract
437-017 A Comparison of Some Alternative Volatility Forecasting Models for Risk Management
P. Sadorsky (Canada)
Abstract
437-019 Application of Particle Swarm Optimization Algorithm in Stock Markets
R. Simutis and J. Nenortaite (Lithuania)
Abstract
437-031 Forecasting Nifty Index Futures Returns using Neural Network and ARIMA Models
M. Kumar and M. Thenmozhi (India)
Abstract
437-033 Time Aggregation of Normal Mixture GARCH Models
C. Alexander and E. Lazar (UK)
Abstract
437-034 Correlation-Predictability Analysis for Intraday Predictions
P.Y. Mok, K.P. Lam, and H.S. Ng (PRC)
Abstract
437-042 A Financial Approach to Machine Learning with Applications to Defaulted Debt Recovery Rates
C. Friedman, S. Sandow, and P. Chang (USA)
Abstract
437-043 Hurst Exponent and Financial Market Predictability
B. Qian and K. Rasheed (USA)
Abstract
Track Modelling and Simulation FreeSubscription
437-010 Long-Short Equity Pairs Trading with Optimum Wavelet Correlation Measures
C.A. Zapart (UK)
Abstract
437-030 Credit Default Swap Calibration with a Tractable Structural Model
D. Brigo and M. Tarenghi (Italy)
Abstract
437-056 One Question of TBT in Finance Service: Bank Non-performing Loans Model Studies
S. Zeng (PRC)
Abstract
437-064 Modelling Price Impact on the ASX
K. Lo and R. Coggins (Australia)
Abstract
437-065 Iterative Construction of the Optimal Bermudan Stopping Time
A. Kolodko and J. Schoenmakers (Germany)
Abstract
437-074 Pricing Convertible Bonds by Simulation
D. Lvov, A.B. Yigitbasioglu, and N. El Bachir (UK)
Abstract
Track Special Session: Models of Financial Market Microstructure FreeSubscription
437-800 Comparative Nonlinear Modeling of Futures Options Volatility in Heterogeneous Markets
G.H. Dash, Jr., C.R. Hanumara, and N. Kajiji (USA)
Abstract
437-801 On Covariance Estimation for High-Frequency Financial Data
T. Hayashi (USA) and N. Yoshida (Japan)
Abstract
437-803 Stochastic Structure of Brokered Foreign Exchange Auctions
R. Wada (Japan)
Abstract
437-804 Short-Term Equity Dynamics and Endogenous Market Fluctuations
T.V. Theodosopoulos and M.H. Badshah (USA)
Abstract
437-805 Relative Risk Aversion and Wealth Dynamics
S.-H. Chen and Y.-C. Huang (Taiwan)
Abstract
Track Additional Paper FreeSubscription
437-073 Time -Scale Coherence Spectrum for the Analysis of Electrical Markets
A. Gandelli (Italy), M.J. Hinich (USA), S. Marchi, and R.E. Zich (Italy)
Abstract
Abstracts may contain minor errors and formatting inconsistencies.
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This publication covers the following topics: Derivatives, Risk Analysis and Portfolio Management, Hedging, Financial Forecasting, Modelling and Simulation, Models of Financial Market Microstructure.

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