Computational Finance and Its Applications Book

	Do size and sector classification matter for long-short strategies?	3
	Predicting stock market indices movements	13
	A mixed distribution approach to copula models of portfolio returns	25
	Artificial agents and speculative bubbles	35
	Using options theory to identify the optimal dispatch strategy for electricity producers in a deregulated environment	47
	Financial credit risk measurement prediction using innovative soft-computing techniques	57
	The relevance of basis risk in the weather derivatives market	67
	Global sensitivity analysis of credit risk portfolios	77
	Pricing corporate bonds, CDS and options on CDS with the BMC model 85
	On revision of the option-based approach to modeling mortgage securities	97
	A hybrid approach to valuing American barrier and Parisian options	109
	Different estimators of the underlying asset's volatility and option pricing errors : parallel Monte-Carlo simulation	121
	A statistical deterministic implied volatility model	133
	Pricing of options in emerging financial markets using Martingale simulation : an example from Turkey	143
	A distributed Laplace transform algorithm for European options	157
	Inferring model parameters in markets with collars	167
	Optimal quasi-Monte Carlo valuation of derivative securities	177
	Optimal control strategies for portfolios of managed futures	189
	A micro-analysis-system of a commercial bank based on a value chain	203
	Improved time series prediction using evolutionary algorithms for the generation of feedback connections in neural networks	211
	Price trends in speculative markets, do they exist? : a case study	221
	Seasonal asymmetric persistence in volatility : an extension of GARCH models	231
	Visual recurrence analysis as an alternative framework for time series characterisation	241
	Pattern recognition through perceptually important points in financial time series	253
	Parametric inference for stochastic differential equations by path integration	265
	Point and figure charting : computational issues and multi-box reversal probabilities	277
	Self-similarity and multifractality in financial asset returns	289
	Non-linear logit models for high frequency currency exchange data	297
	Author index	307