Financially Engineered - Financial Engineering website with articles,interviews and more

Financial Engineering

Abstract:     

Financial crisis has hit the world in a negative manner and has left a huge mark on the economies of the different countries. Financial engineering is a new concept which has emerged as a means of applying and implementing different methods in the field of finance. Financial engineering is a blend of finance, mathematics and statistics which is used in different areas and aspects of doing business and in the field of finance.
 

Does model misspecification matter for hedging? A computational finance experiment based approach

Abstract:     

Youfa Sun

Institute of Financial Engineering, School of Management, Guangdong University of Technology, Guangzhou 510520, China

George Yuan

Institute of Risk Management, Department of Mathematics, Tongji University, Shanghai 200092, China

Center for Financial Engineering, Soochow University, Suzhou 215006, China

Fast numerical method for pricing of variable annuities with guaranteed minimum withdrawal benefit under optimal withdrawal strategy

Xiaolin Luo

The Commonwealth Scientific and Industrial Research Organisation, Australia

Pavel V. Shevchenko

The Commonwealth Scientific and Industrial Research Organisation, Australia

Received: 9 March 2015
Revised: 1 June 2015
Accepted: 1 June 2015
Published: 30 September 2015

The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe

Min Zhang

School of Management and Engineering, Nanjing University, Nanjing 210093, P. R. China

Adam W. Kolkiewicz

Department of Statistics & Actuarial Science, University of Waterloo, Waterloo, Ontario N2L 3G1, Canada

Tony S. Wirjanto

Department of Statistics and Actuarial Science and School of Accounting and Finance, University of Waterloo, Waterloo, Ontario N2L 3G1, Canada

Xindan Li

Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis

Mazin A. M. Al Janabi

Financial Engineering and Finance & Banking, Department of Economics and Finance, College of Business and Economics, United Arab Emirates University (UAEU), P. O. Box 15551, Al-Ain, Abu Dhabi, United Arab Emirates

Received: 10 May 2015
Revised: 18 August 2015
Accepted: 18 August 2015
Published: 22 September 2015

Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity

Peter Lerner

SciTech Analytical Services, LLC Woodland Drive, State College, PA 16803, United States

Received: 19 May 2015
Revised: 18 August 2015
Accepted: 18 August 2015
Published: 30 September 2015

Dynamic asset allocation for a bank under CRRA and HARA framework

Ryle S. Perera

Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, NSW 2109, Australia

Department of Applied Mathematics and Statistics, Whiting School of Engineering, The Johns Hopkins University, Baltimore, MD 21218, USA

Received: 1 June 2015
Revised: 18 August 2015
Accepted: 18 August 2015
Published: 25 September 2015

Heavy-tailed features and dependence in limit order book volume profiles in futures markets

Kylie-Anne Richards

School of Mathematics and Statistics, University of NSW, UNSW Sydney, NSW 2052, Australia

Boronia Capital Pty. Ltd., 12 Holtermann Street, Crows Nest, NSW 2065, Australia

Gareth W. Peters

School of Mathematics and Statistics, University of NSW, UNSW Sydney, NSW 2052, Australia

Boronia Capital Pty. Ltd., 12 Holtermann Street, Crows Nest, NSW 2065, Australia

Department of Statistical Science, University College London, UK

Oxford Mann Institute, Oxford University, Oxford, UK

Systemic Risk Center, London School of Economics, London, UK

William Dunsmuir

School of Mathematics and Statistics, University of NSW, UNSW Sydney, NSW 2052, Australia

Self-financing strategy expression in general shape limit order book with market impacts in continuous time

All the contents expressed in this research are solely those of the author and do not represent any views or opinions of any institutions. The author is not responsible or liable in any manner for any losses and/or damages caused by the use of any contents in this research.

Taiga Saito

Financial Research Center at Financial Services Agency, Government of Japan, 3-2-1 Kasumigaseki, Chiyoda-ku, Tokyo 100-8967, Japan

Received: 30 June 2015
Revised: 18 August 2015
Accepted: 18 August 2015
Published: 22 September 2015

Buying Cures Versus Renting Health: Financing Health Care with Consumer Loans

Vahid Montazerhodjat, David M. Weinstock, Andrew W. Lo, Science Translational Medicine,, Vol. 8, Issue 327, pp. 327ps6

A crisis is building over the prices of new transformative therapies for cancer, hepatitis C virus infection, and rare diseases. The clinical imperative is to offer these therapies as broadly and rapidly as possible. We propose a practical way to increase drug affordability through health care loans (HCLs)—the equivalent of mortgages for large health care expenses.

Spectral Portfolio Theory (Working Paper)

Chaudhuri, Shomesh E. and Andrew W. Lo

Economic shocks can have diverse effects on financial market dynamics at different time horizons, yet traditional portfolio management tools do not distinguish between short- and long-term components in alpha, beta, and covariance estimators

What is an Index?

Journal of Portfolio Management 42 (2), 21-36.

Recent technological advances in computing, trading, trade processing, telecommunications, and derivative securities have greatly increased the scope of possible financial products and services, including new forms of indices that have little resemblance to a static market-cap-weighted portfolio.

TRC Networks and Systemic Risk (Working Paper)

Lo, Andrew W. and Roger M. Stein

We introduce a new approach for identifying and monitoring systemic risk that combines network analysis and tail risk contribution (TRC). Network analysis provides great flexibility in representing and exploring linkages between institutions, but can be overly general in describing the risk exposures of one entity to another.

Opinion: A New Approach to Financial Regulation

Levin, Simon and Andrew W. Lo, Proceedings of the National Academy of Sciences, 112(41), 12543-12544.

We propose that the financial system has crossed a threshold of complexity where the system is evolving faster than regulators and regulations can keep pace.

The "Seek" Series

This website is part of the "Seek" Series and is inspired by people such as Thomas Buzan, Manahel Thabet and more.

Newsletter

Contact

  Mail is not sent.   Your email has been sent.