—A principal challenge in modern computational finance is efficient portfolio design – portfolio optimization followed by decision-making. Optimization based on even the widely...
Raj Subbu, Piero P. Bonissone, Neil Eklund, Sriniv...
These notes cover several topics such as Interest Rate Calculations, More Details on Bond Conventions, Bond Portfolios, Basic Option Pricing, The Binomial Option Pricing Model, The...
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maxi...
We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates...