This book examines computational methods and analytical models in financial engineering that rely on computation. It features the work of leading researchers in portfolio optimization and option pricing; banking; risk and macroeconomic modeling.

Portfolio Optimization and Option Pricing

Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization
Risk Preferences and Loss Aversion in Portfolio Optimization
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix
Optimal Execution of Time-Constrained Portfolio Transactions
Semidefinite Programming Approaches for Bounding Asian Option Prices
The Evaluation of Discrete Barrier Options in a Path Integral Framework
Estimation and Classification
Robust Prediction of Beta
Neural Network Modelling with Applications to Euro Exchange Rates
Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration
Classification Using Optimization: Application to Credit Ratings of Bonds
Evolving Decision Rules to Discover Patterns in Financial Data Sets
Banking, Risk and Macroeconomic Modelling
A Banking Firm Model: The Role of Market, Liquidity and Credit Risks
Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions
An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures
Integrated Risk Management: Risk Aggregation and Allocation Using Intelligent Systems
A Stochastic Monetary Policy Interest Rate Model
Duali: Software for Solving Stochastic Control Problems in Economics.