Financial Engineering and Applications    (FEA 2006)

October 9 – 11, 2006
Cambridge, USA
Editor(s): Mark Holder
131 pages
Other Years:

Abstracts may contain minor errors and formatting inconsistencies.
Please contact us if you have any concerns or questions.

Track Algorithmic Trading FreeSubscription
546-006 Optimal Tracking of Corporate Bond Indices
N. Mirjolet, G. Dondi, F. Herzog, S. Keel, and H.P. Geering (Switzerland)
546-013 The Effects of Measuring the Actual Distribution and Dependence on Portfolio Selection Performance: Evidences from China Security Market
Z. Liu, B. Song, and W. Li (PRC)
546-024 Efficient Pricing of Discrete Asian Options
W.W. Hsu and Y.-D. Lyuu (Taiwan)
546-031 Efficient Calibration of Time-Changed Lévy Models to Forward Implied Volatility Surfaces
S. Kassberger and H. Schmidt (Germany)
Track Risk Management FreeSubscription
546-008 Securities Selection and Portfolio Optimization: Is Money Being Left on the Table?
A. Clark and M. Labovitz (USA)
546-011 Bayesian Credit Rating Analysis based on Ordered Probit Model with Functional Predictor
T. Ando (Japan)
546-012 Optimal Covariances in Risk Model Aggregation
A.N. Kercheval (USA)
546-016 Speed Up Optimization for CDO Design Method Conformed to Investor Needs
T. Nakae, K. Baba, T. Moritsu, and N. Komoda (Japan)
546-045 Optimal Portfolios with Skewed and Heavy-Tailed Distributions
S. Keel, F. Herzog, H.P. Geering, and N. Mirjolet (Switzerland)
546-049 Simulation of Nonlinear Portfolio Value-at-Risk by Monte Carlo and Quasi-Monte Carlo Methods
Y. Lai (Canada) and K.S. Tan (Canada & PRC)
546-800 Portfolio Management Implications of Volatility Shifts: Evidence from Simulated Data
V. Fernandez (Chile) and B.M. Lucey (Ireland)
Track Financial-Economic Forecasting FreeSubscription
546-019 Modelling the Volatility of China's Stock Market with Regime Shifts
R. Wang (PRC)
546-033 Empirical Study of Spot Returns in the Australian Electricity Market
X. Lu and L.-F. Sugianto (Australia)
546-041 Incremental Intraday Prediction of Extreme Values and Range-based Volatility
H.S. Ng and K.P. Lam (PRC)
546-055 Efficient Calibration of a Multi-Objective Artificial Network to Amplify Directional Volatility Spillovers in European Government Bond Markets
G.H. Dash, Jr. and N. Kajiji (USA)
Track Financial Derivatives and Hedge Fund Management FreeSubscription
546-014 On Exchange Options with Jumps
G.H.L. Cheang (Singapore), C. Chiarella, and A. Ziogas (Australia)
546-028 Dynamic Analysis of Hedge Funds
M. Markov, I. Muchnik (USA), V. Mottl, and O. Krasotkina (Russia)
546-039 Closed-Form Approximate Inversion of the Black-Scholes Formula
M. Li (USA)
546-044 A Numerical Method for American Option Pricing under CEV
J. Zhao and H.Y. Wong (PRC)
Abstracts may contain minor errors and formatting inconsistencies.
Please contact us if you have any concerns or questions.

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Hard Copy Subscriptions are not available for FEA 2006
ISSN (CD): N/A ;
ISBN (CD): 0-88986-634-1 ;
ISSN (Online): N/A ;

The topics of interest include, but are not limited to: - Financial Derivatives; - Risk Management; - Stochastic Control; - Financial/Economic Forecasting; - Financial Valuation; - Hedge Fund Management; - Financial Visualization; and - Algorithmic Trading - Financial Engineering Applications.

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