Computational finance 1999 - Abu-Mostafa, Yaser S (Cambridge, Mass. : MIT Press, 2000)
Introduction / Blake LeBaron -- Importance Sampling and Stratification for Value-at-Risk / Paul Glasserman, Philip Heidelberger and Perwez Shahabuddin -- Confidence Intervals and Hypothesis Testing for the Sharpe and Treynor Performance Measures: A Bootstrap Approach / H. D. Vinod and Matthew R. Morey -- Conditional Value at Risk / Dirk Ormoneit and Ralph Neuneier -- Advances in Importance Sampling / Art Owen and Yi Zhou -- Arbitrage and the APT -- A Note / Manfred Steiner and Sebastian Schneider -- Bayesian Network Models of Portfolio Risk and Return / Catherine Shenoy and Prakash P. Shenoy -- Change of Measure in Monte Carlo Integration via Gibbs Sampling with an Application to Stochastic Volatility Models / Filippo Altissimo
Includes bibliographical references and index
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Keywords: Finance -- Data processing; Finance -- Data processing -- Congresses; Finance -- Mathematical models; Finance -- Mathematical models -- Congresses; Finances -- Modeles mathematiques -- Congres