Preface

Contributors

Introduction

Blake LeBaron

I Risk Management and Portfolio Optimization

Importance Sampling and Stratification for Value-at-Risk

Paul Glasserman

Philip Heidelberger

Perwez Shahabuddin

Confidence Intervals and Hypothesis Testing for the Sharpe and Treynor Performance Measures: A Bootstrap Approach

H. D. Vinod

Matthew R. Morey

Conditional Value at Risk

Dirk Ormoneit

Ralph Neuneier

Advances in Importance Sampling

Art Owen

Yi Zhou

Arbitrage and the APT---A Note

Manfred Steiner

Sebastian Schneider

Bayesian Network Models of Portfolio Risk and Return

Catherine Shenoy

Prakash P. Shenoy

II Volatility

Change of Measure in Monte Carlo Integration via Gibbs Sampling with an Application to Stochastic Volatility Models

Filippo Altissimo

Comparing Models of Intra-day Seasonal Volatility in the Foreign Exchange Market

Claudio Morana

Andrea Beltratti

A Symbolic Dynamics Approach to Volatility Prediction

Peter Tino

Christian Schittenkopf

Georg Dorffner

Engelbert J. Dockner

Does Volatility Timing Matter?

Jeff Fleming

Chris Kirby

Barbara Ostdiek

III Time Series Methods

Goodness of Fit, Stability and Data Mining

Juan del Hoyo

J.-Guillermo Llorente

A Bayesian Approach to Estimating Mutual Fund Returns

Amir F. Atiya

Malik Magdon-Ismail

Independent Component Ordering in ICA Analysis of Financial Data

Zhi-bin Lai

Yiu-ming Cheung

Lei Xu

Curved Gaussian Models with Application to Modeling Foreign Exchange Rates

Juan K. Lin

Peter Dayan

Nonparametric Efficiency Testing of Asian Foreign Exchange Markets

Cornelis A. Los

Term Structure of Interactions of Foreign Exchange Rates

John Moody

Howard Yang

Exchange Rates and Fundamentals: Evidence from Out-of-Sample Forecasting Using Neural Networks

Min Qi

Yangru Wu

IV Dynamic Trading Strategies

Trading Models as Specification Tools

Ramazan Gencay

Giuseppe Ballocchi

Michel Dacorogna

Olivier Pictet

Statistical Arbitrage Models of the FTSE 100

A. N. Burgess

Implementing Trading Strategies for Forecasting Models

N. Towers

A. N. Burgess

Using Nonlinear Neurogenetic Models with Profit Related Objective Functions to Trade the US T-bond Future

Zac Harland

Parameter Tuning in Trading Algorithms Using ASTA

Thomas Hellstrom

Kenneth Holmstrom

Hedge Funds Styles

David A. Hsieh

Optimization of Technical Trading Strategy Using Split Search Genetic Algorithms

Raymond Tsang

Paul Lajbcygier

Trading Mutual Funds with Piece-wise Constant Models

Michael de la Maza

Minimizing Downside Risk via Stochastic Dynamic Programming

John Moody

Matthew Saffell

An Optimal Binary Predictor for an Investor in a Futures Market

Dirk W. Rudolph

An Introduction to Risk Neutral Forecasting

Spyros Skouras

Temporal--Difference Learning and Applications in Finance

Benjamin Van Roy

V Heterogeneous Agents

Technical Trading Creates a Prisoner's Dilemma: Results from an Agent-Based Model

Shareen Joshi

Jeffrey Parker

Mark A. Bedau

Cycles of Market Stability and Instability Due to Endogenous Use of Technical Trading Rules

David Goldbaum

Relative Performance of Incentive Mechanisms in Delegated Investments: A Computational Study

T. S. Raghu

H. R. Rao

P. K. Sen

VI Credit Risk

Rules Extractions from Banks' Bankrupt Data Using Connectionist and Symbolic Learning Algorithms

Edmar Martinelli

Andre de Carvalho

Solange Rezende

Alberto Matias

Evaluating Bank Lending Policy and Consumer Credit Risk

Tor Jacobson

Kasper F. Roszbach

Loan Duration and Bank Lending Policy

Kasper F. Roszbach

VII Option Pricing

Estimation of Stochastic Volatility Models for the Purpose of Option Pricing

Mikhail Chernov

Eric Ghysels

Option Pricing via Genetic Programming

N. K. Chidambaran

Chi-Wen Jevons Lee

Joaquin R. Trigueros

Nonparametric Testing of ARCH for Option Pricing

Peter Christoffersen

Jinyong Hahn

A Computational Framework for Contingent Claim Pricing and Hedging under Time Dependent Asset Processes

Les Clewlow

Russell Grimwood

A Framework for Comparative Analysis of Statistical and Machine Learning Methods: An Application to the Black-Scholes Option Pricing Equation

J. Galindo--Flores

Option Pricing with the Efficient Method of Moments

George J. Jiang

Pieter J. van der Sluis

Option Valuation with the Genetic Programming Approach

Christian Keber

Contact Information

Keyword Index