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Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market …
1. 1 The Area of Research In this thesis, we will investigate the 'market-conform' pricing of newly issued contingent claims. A contingent claim is a derivative whose value at any …
Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general. …
This monograph critically reviews and updates real estate valuation theory, which is based on neoclassical economics, in light of developments in heterodox economic theory. …
The class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book …
1 The tools of modern portfolio theory are in general use in the equity markets, either in the form of portfolio optimization software or as an accepted frame- 2 work in which the …
This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest …
The management of financial portfolios or funds constitutes a widely known problematic in financial markets which normally requires a rigorous analysis in order to select the most …
This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful …
This book presents a new computational finance approach combining a Symbolic Aggregate approximation (SAX) technique with an optimization kernel based on genetic algorithms (GA). …