Titlebook: Computational Methods in Financial Engineering; Essays in Honour of Erricos J. Kontoghiorghes,Berç Rustem,Peter Winker Book 2008 Springer-

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Risk Preferences and Loss Aversion in Portfolio Optimizationtors’ preferences are commonly assumed to follow a quadratic or power utility function, and asset returns are often assumed to follow a Gaussian distribution. Investment analysis has therefore long been focusing on the first two moments of the distribution, mean and variance. However, empirical asse

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Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, Extreme Economic Value at Risk (EE-VaR) based on the Generalized Extreme Value (GEV) distribution has been proposed as a new risk measure. This follows from a GEV option pricing model dev

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Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Meliable estimations are difficult to perform and using the VaR as a constraint in portfolio optimization causes computational problems. Both problems are taken into account in the present application. First, the VaR based on estimates of the conditional covariance matrix with the ”Principal Componen

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Optimal Execution of Time-Constrained Portfolio Transactionsoblem is solved approximately through a succession of quadratic programs. The ensuing strategies are then tested on real data. The model extends a recent one by accounting for liquidity differences between stocks.

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Semidefinite Programming Approaches for Bounding Asian Option Pricesing the moments of the distribution of prices is developed which enables the method of Bertsimas and Popescu to be extended for the case of the Asian option. In particular, several SDP formulations for upper and lower bounds of the price of an Asian option are given based on different representation

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The Evaluation of Discrete Barrier Options in a Path Integral Frameworks. A path integral approach to the evaluation of barrier options is developed. This leads to a backward recursion functional equation linking the pricing functions at successive barrier points. This functional equation is solved by expanding the pricing functions in Fourier-Hermite series. The backw

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Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegrationerest rates and uncovered interest rate parity (UIRP) for U.S. and Swiss rates. Tests for no cointegration, for the number of cointegrating relations and for the presence of threshold effects are discussed within the framework of this TVECM with more than one cointegrating relationship, allowing for