Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)
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Multi-level risk-controlled sector optimization of domestic and international fixed-income portfolios including conditional VaR

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844600 ◽

2002 ◽

Author(s):

R. D'Vari ◽

J.C. Sosa ◽

K.K. Yalamanchili

Keyword(s):

Fixed Income ◽

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Term structure of interest rates and implied market frictions

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844602 ◽

2002 ◽

Author(s):

I.D. Loe ◽

E.Z. Prisman

Keyword(s):

Interest Rates ◽

Term Structure ◽

Market Frictions

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Numerical methods for pricing callable bonds

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844604 ◽

2002 ◽

Author(s):

Y. d'Halluin ◽

P.A. Forsyth ◽

K.R. Vetzal ◽

G. Labahn

Keyword(s):

Numerical Methods ◽

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Antipersistent trading ranges

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844626 ◽

2002 ◽

Author(s):

P.E. Lynch ◽

N.M. Allinson

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Predicting corporate bankruptcy using modular neural networks

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844606 ◽

2002 ◽

Author(s):

M.L. Nasir ◽

R.I. John ◽

S.C. Bennett ◽

D.M. Russell

Keyword(s):

Neural Networks ◽

Corporate Bankruptcy ◽

Modular Neural Networks

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The methods of operations research on Russian financial markets

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844623 ◽

2002 ◽

Author(s):

G.A. Agasandian ◽

F.I. Ereshko ◽

A.F. Ereshko ◽

I.I. Gasanov

Keyword(s):

Financial Markets ◽

Operations Research

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Time series for currency exchange rate of the Brazilian Real

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844625 ◽

2002 ◽

Author(s):

M.A. Bittencourt ◽

F.C. Lin

Keyword(s):

Time Series ◽

Exchange Rate ◽

Currency Exchange ◽

Currency Exchange Rate

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Interactions between finance and technology

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844622 ◽

2002 ◽

Author(s):

M. Setnes ◽

O.J.H. van Drempt ◽

H.R. van Nauta Lemke

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Funds exchange: an approach for risk and portfolio management

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844585 ◽

2002 ◽

Author(s):

V. Cherkassky ◽

F. Mulier ◽

A.B. Sheng

Keyword(s):

Portfolio Management

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A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractability

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) ◽

10.1109/cifer.2000.844610 ◽

2002 ◽

Author(s):

S.G. Kou

Keyword(s):

Option Pricing ◽

Diffusion Model ◽

Jump Diffusion ◽

Volatility Smile ◽

Jump Diffusion Model

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