papers

Neural networks

[1] Feedforward and Recurrent Neural Networks and Genetic Programs for Stock Market and Time Series Forecasting, P.C.McCluskey, 1993

[2] Clustering of the Self-Organizing Map , Juha Vesanto , 2000

[3] The Learning Vector Quantization Program Package, T.Kohonen, 1996

[4] A Neural Network Model for Gold Market, P.J.McCann, B.L.Kalman,1993

[5] Prediction Risk and Architecture Selection for Neural Networks, J.Moody, 1994

[6] Economic Forecasting: Challenges and Neural Network Solutions, J.Moody, 1995

[7] Neural Networks in Economics: Background, Applications and New Developments, R.Herbrich et.al., 1999

[8] Incorporating Prior Knowledge About Financial Markets Through Neural Multitask Learning, K.Bartlmae et.al., 1995

[9] Neural Networks for Time Series Processing, G.Dorffner, 1996

[10] Stock Price Prediction Using Neural Networks, F.W.Op't Landt, MSc. thesis, 1997

[11] Rprop - Description and Implementation Details, M.Riedmiller, 1994

[12] The Self-Organizing Map Program Package, T.Kohonen, 1996

[13] On the Analysis of Pattern Sequences by Self-Organizing Maps, J.Kangas, 1994

[14] Dependency Analysis and Neural Network Modeling of Currency Exchange Rates, I.Pi, 1993

[15] Forecasting the 30-year U.S. Treasury Bond with a System of Neural Networks, W.Cheng et.al., 1996

[16] Optimal Asset Allocation using Adaptive Dynamic Programming, R.Neunejer, 1995

[17] A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks, J.M.Hutchinson et.al., 1994

[18] Comparative Study of Stock Trend Prediction Using Time Delay, Recurrent and Probabilistic Neural Networks , Danil V. Prokhorov, 1998

[19] Forecasting Financial Markets using Neural Networks: an Analysis of Methods and Accuracy, J.Kutsurelis, 1998

[20] On Developing a Financial Prediction System: Pitfalls and Possibilities , Stefan Zemke

[21] A Case Study on Using Neural Networks to Perform Technical Forecasting on FOREX, J.Yao and C.Tan, 1999

[22] A Comparative Study on Feedforward and Recurrent Neural Networks in Time Series Prediction using Gradient Descent Learning, M.Hallas, G.Dorffner, 1997

[23] An Explicit Feature Selection Strategy for Predictive Models of the S&P 500 Index, T.Chenoweth et.al., 1996

[24] Forecasting Price Increments Using an Artificial Neural Network, F.Castiglione, 2000

[25] A Multi-Component Nonlinear Prediction System for the S&P 500 Index, T.Chenoweth and Z.Obradovic, 1996

[26] Training Neural Networks Beyond the Euclidean Distance, Multi-Objective Neural Networks using Evolutionary Training, 1999

[27] Pattern Matching and Neural Networks Based Hybrid Forecasting System, A.Singh and J.Fieldsend, 2000

[28] An Artificial Neural Network Primer with Financial Applications Example in Financial Distress Predictions and Foreighn Exchange Hybrid Trading System, C.Tan, 1997

[29] A Hybrid Financial Trading System Incorporating Chaos Theory, Statistical and Artificial Intelligence/Soft Computing methods, C.Tan, 1999

[30] Time Series Prediction and Neural Networks, N.davey et.al., 1997

[31] Foreign Exchange Rates Forecasting with Neural Networks , Jingtao Yao, Hean-Lee Poh, Teo Jasic ,1996

[32] A Constrained Neural Network Kalman Filter for Price Estimation in High Frequency Financial Data, P.J.Bolland and J.T.Connor, 1997

[33] A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks, N.R.Swanson and H.White, 1995

General optimization

[1] Mathematical Optimization, Computational Science Education Project, 1995

[2] A New Branch-and-Bound Method for Global Optimization, K.Madsen and S.Zertchaninov, 1998

Heuristic optimization

[1] On the hardness of the Quadratic Assignment Problem with meta-heuristics , Eric Angel, Vassilis Zissimopoulos , 1997

[2] A Comparison of Stochastic Search Heuristics for Portfolio Optimization, R.Freedman and R.DiGiorgio, 1993

Neural optimization

[1] Dempster-Shafer clustering using Potts spin mean field theory M. Bengtsson , J. Schubert , 2001

[2] Neural Networks for Optimization Problems with Inequality Constraints - the Knapsack Problem, M.Ohlsson et.al, 1992

[3] Mean Field Limit Theorems for CDMASystems , Tim Holliday

[4] Combinatorial Optimization with Feedback Artificial Neural Networks, C.Peterson, 1995

[5] Neural Optimization, C.Peterson, 1998

[6] An Efficient Mean Field Approach to the Set Covering Problem, M.Ohlsson et.al, 1999

Genetic algorithms

[1] Would Evolutionary Computation Help in Designs of Artificial Neural Nets in Forecasting Financial Time Series, Shu-Heng Chen, Chun-Fen Lu, 1999

[2] Evolutionary Algorithms for Neural Network Design and Training, J.Branke, 1995

[3] Evolving Artificail Neural Networks, X.Yao, 1999

[4] Evolution of Trading Rules for the FX Market or How to Make Money out of GP, H.Jonsson et.al., 1997

[5] The Hitch-Hiker's Guide to Evolutionary Computing, J.Heitkotter et.al., 1999

[6] Genetic Algorithms Overview, F.Busetti, 2000 [7] Investment Decision Making Using FGP: A Case Study, J.Li and E.Tsang, 1999

[7] Investment Decision Making Using FGP: A Case Study, J.Li and P.K.Tsang, 1999

[8] Using Genetic Algorithms for Robust Optimization in Financial Applications, O.V.Pictet et.al., 1995

[9] The Importance of Simplicity and Validation in Genetic Programming for Data Mining in Financial Data, J.D.Thomas and K.Sycara, 1999

[10] Using Genetic Algorithms for Defining an Initial Shares Portfoliom R.Vieira and R.Wazlawick, 1995

Fuzzy logic

[1] Dynamic Financial Forecasting with Automatically Induced Fuzzy Associations, Y.Romahi and Q.Shen, 2000

Fractals and chaos

[1] Fractals and Intrinsic Time - A Challenge to Econometrics, U.A.Muller et.al., 1995

[2] Interdisciplinary Application of Nonlinear Time Series Methods, T.Schreiber, 1998

[3] Kolmogorov Entropy from Time Series using Information-Theoretic Functionals, M.palus, 1997

[4] Chaotic time series. Part I: Estimation of some Invariant Properties in State Space, D.Kugiumtzis et.al., 1995

[5] Chaotic Time Series. Part II: System Identification and Prediction, B.Lillekjendlie, 1995

[6] Testing for Nonlinearity Using Redundancies: Quantitative and Qualitative Aspects, M.Palus, 1995

[7] Multifractality in Asset Returns: Theory and Evidence, L.Calvet and A.Fisher, 2001

[8] Deterministic Chaos in Exchange Rates?, M.Bask, 1996

[9] A Langevin Approach to Stock Market Fluctuations and Crashes, J.P.Bouchad and R.Cont, 1998

[10] Scaling Transformation and Probability Distributions for Financial Time Series, M.Brachet, et.al., 1997

[11] Large Deviations and the Distribution of Price Changes, L.Calvet, A.Fisher and B.Mandelbrot, 1997

[12] Scaling in Stock Market Data: Stable Laws and Beyond, R.Cont, M.Potters and JP.Bouchaud, 1997

[13] The Distribution of Extremal Foreigh Exchange Rate Returns in Extremely Lasrge Data Sets, M.Dacorogna, et.al., 1995

[14] Predicting the Occurrence of Rare Events, M.Dacorogna, 1998

[15] Crashes as Critical Points, A.Johansen et.al., 1998

[16] Modeling the Stock Market Prior to Large Crashes, A.Johansen et.al., 1998

[17] Apparent Multifractality in Financial Time Series, J.P.Bouchaud, et.al., 1999

[18] Is There Chaos in the World Economy? A Test Using Nonparametric Regression, M.Shintanim and O.Linton, 2000

Simulated annealing

[1] Very Fast Simulated Re-Annealing, L.Ingber, 1989

[2] Genetic Algorithm and Very Fast Simulated Re-Annealing: a Comparison, L.Ingber et.al., 1992

[3] Simulated Annealing: Practice Versus Theory, L.Ingber, 1993

[4] Adaptive Simulated Annealing (ASA): Lessons Learned, L.Ingber, 1995

[5] Statistical Mechanics of Financial Markets (SMFM), L.Ingber, 1999

[6] Trading Markets with Canonical Momenta and Adaptive Simulated Annealing, L.Ingber, 1999

[7] Optimization of Trading Physics Models of Markets, L.Ingber at.al,

Taboo search

[1] Taboo Search, F.Glover and M.Laguna, 1999

Game theory

[1] Finance Applications of Game Theory, F.Allen, S.Morris, 1998

Multi-agent simulations

[1] An Artificial Market Model of a Foreign Exchange Market, K.Izumi, Ph.D. thesis, 1999

[2] Asset Pricing Under Endogenous Expectations in an Artificial Stock Market, W.Brian et.al., 1996

[3] An Artificial Stock Market, R.G.Palmer et.al., 1999

[4] Cooperative Multiagent search for Portfolio Selection, D.C.Parkes and B.A.Huberman, 1999

[5] Artificial Economic Life: A Simple Model of a Stockmarket, R.G.Palmer et.al., 1993

[6] Emergent Phenomena in a Foreign Exchange Market: Analysis Based on an Artificial Market Approach, K.Izumi and K.Ueda, 1998

Monte Carlo Simulations

[1] Quasi-Monte Carlo Approaches to Option Pricing, J.Birge, 1996

[2] Efficient Monte Carlo Pricing of Basket Options, P.Bellizzari, 1998

[3] Monte Carlo Pricing

[4] Testing the Models of Stock Price Processes Using Monte Carlo Markov Chain Method, W.Chen, 1998

[5] Path Generation for Quasi-Monte Carlo Simulation of Mortgage Backed Securities, F.Akersson and J.Lehoczky, 2000

[6] Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing, Y.Lai and J.Spanier, 1999

[7] Variance Reduction of Monte Carlo and Randomized Quasi-Monte Carlo Estimators for Stochastic Volatility Models in Finance, H.Ben Ameur et.al., 1999

[8] Markov Chain Monte Carlo Calibration of Stochastic Volatility Models, X.Ge and C.Ji, 2000

Time series analysis

[1] Time Series Analysis, E.Bradley, 1999

[2] Financial Time Series Forecasts using Fuzzy and Long Memory Pattern Recognition Systems, S.Singh and J.Fieldsend, 2000

[3] Pricing Foreign Currency and Cross-Currency Options Under GARCH, J.Duan et.al., 1999

[4] Fuzzy Nearest Neighbour Method for Time-Series Forecasting, S.Singh, 1998

[5] Neural Networks for Time Series Processing, G.Dorffner, 1997

[6] Detecting Nonlinearity in Multivarite Time Series, M.Palus, 1996

[7] Estimating Predictability: Redundancy and Surrogate Data Method, M.Palus et.al., 1995

[8] From Nonlinearity to Predictability, M.Palus and D.Novotna, 1997

[9] Time Series Data Mining: Identifying Temporal Patterns for Characterization and Prediction of Time Series Events, R.J.Povinelli, 1999

[10] Dynamic Time-Series Forecasting Using Local Approximation, S.Singh and P.McAtackney, 1998

[11] A Long Memory Pattern Modeling and Recognition System for Financial Time-Series Forecasting, S.Singh, 1999

[12] Noisy Time-Series Prediction using Pattern Recognition Techniques, S.Singh, 2000

[13] Time Series for Macroeconomics and Finance, J.Cochrane, 1997

[14] Bayesian Time Series: Financial Models and Spectral Analysis, Y.Chen, 1997

[15] Multivariate Long-Memory ARCH Modelling for High Frequency Foreign Exchange Rates, G.Teyssiere, 1998

[16] Structural Changes in the Cointegrated Vector Autoregressive Model, P.R.Hansen, 2000

Term structure

[1] Term Structure Estimation: An Implied Norm Approach. Negative Option Prices - A Puzzle or Just Noise? I.D.Ioffe et.al., 2000

[2] Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates, R.Stapleton, 1994

[3] Using Hull-White Interest-Rate Trees, J.Hull and A.White, 1996

[4] Time-varying Risk Aversion, Unexpected Inflation and the Dynamics of the Term Structure, M.Brandt and K.Wang, 1999

[5] The Bias in the Conventional Test of the Expectations Theory: Resolving the Anomalies at the Very Short End of the Term Structure, D.L.Thornton, 2000

[6] The Expectations Theory and the Founding of the Fed: Another Look at the Evidence, C.J.M.Kool and D.L.Thornton, 2000

[7] Deriving Agent's Inflation Forecasts from the Term Structure of Interest Rates, C.Ragan, 1995

[8] The Information in the Term Structure of Interest Rates:Further Results for Germany, G.Boero and C.Torricelli, 1998

Portfolio selection

[1] Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets, G.Chacko and L.Viceira, 1999

[2] Index Tracking: Genetic Algorithms for Investment Portfolio Selection, J.Shapcott, 1992

[3] Heuristic Algorithms for the Portfolio Selection Problem with Minimum Transaction Lots, R.Mansini and M.G.Speranza, 1999

[4] Enhancing Portfolio Performance Using Options Strategies. Why Beating the Market Is Easy. F-S.Lhabitant, 1998

[5] Optimal Portfolio Choice Under Loss Aversion, A.Berkelaar and R.Kouwenberg, 2000

[6] Universal Portfolios With and Without Transaction Costs, A.Blum and A.Kalai, 1997

[7] Portfolio Selection with Downside Risk Measures

[8] Universal Portfolios, T.M.Cover, 1996

[9] Portfolio Advice for a Multifactor World, J.H.Cochrane, 2000

[10] On-Line Portfolio Selection Using Multiplicative Updates, D.P.Helmbold, 1998

[11] Portfolio Selection Problem with MiniMax Type Risk Function, K.L.Teo and X.Q.Yang, 1999

[12] Scenario Selection and Stochastic Programming Models for Asset Liability management, R.Kouwenberg, 1998

[13] Optimal Dynamic Portfolio Selection: Multi-Period Mean-Variance Formulation, D.Li et.al., 1998

[14] On the Explanatory Power of Asset Pricing Models Across and Within Portfolios, R.Kan, 1999

[15] Optimal Investing in Incomplete Financial Markets, W.Schachermayer, 2000

Portfolio optimization

[1] Heuristics for Cardinality Constrained Portfolio Optimization, T.J.Chang et.al., 1999

[2] Heuristic Approaches for Portfolio Optimization, M.Gilli and E.Kellezi, 2000

[3] Optimal Hedging Strategy for a Portfolio Investment Problem with Additional Constraints, N.Dokuchaev and K.Teo, 1999

[4] Optimal Portfolios for LogarithmicUtility, T.Goll and J.Kallsen, 2000

[5] Dynamic Portfolio Insurance: A Stochastic Programming Approach, R.Kouwenberg and T.Vorts, 1998

[6] Duality Links between Portfolio Optimization and Derivative Pricing, J.Kallsen, 1999

[7] Optimal Portfolios for Exponential Levy Processes, J.Kallsen, 1999

[8] Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion, W.Michalowski, 1998

[9] Portfolio Analysis Using Downside Risk Minimization, D.M.Ros et.al., 1998

[10] A Monte carlo Method for Optimal Portfolios, J.Detemple et.al, 2000

[11] Practical Portfolio Optimization, K.V.Fernando, 2000

[12] Stochastic-Programming Models for Portfolio Optimization with Mortgage-Backed Securities, R.McKendall, 1993

[13] Taming Your Optimizer: A Guide Through the Pitfalls of Mean-Variance Optimization, S.L.Lummer, et.al., 1994

CAPM

[1] International CAPM with Regime Switching GARCH Parameters, L.Cappiello and T.A.Fearnly, 2000

[2] Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Momets, L.Cappiello, 2000

[3] Optimal International Diversification: Theory and Practice from a Swiss Investor's Perspective, F.Hamelink, 2000

[4] Capital Asset Pricing Model and Changes in Volatility, A.O.Santos, 1998

[5] New Facts in Finance, J.H.Cochrane, 2000

[6] Explaining the Poor Performance of Consumption-based Asset Pricing Models, J.Campbell and J.H.Cochrane, 2000

[7] Covariability, Multivariability and Flexibility: Conditional CAPM and Time-Varying Risk Premia, G.Lim et.al., 1998

Volatility estimation

[1] Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian T.Andersen et.al., 1999

[2] Towards a Theory of Volatility Trading, P.Carr and D.Madan, 1998

[3] Forecasting S&P 100 Volatility: The Increment Information Content of Implied Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000

[4] Derivatives on Volatility: Some Simple Solutions Based on Observables, S.L.Hestib and S.Nandi, 2000

[5] Consequences for Option Pricing of a Long Memory in Volatility, S.J.Taylor, 2000

[6] Forward rate Volatilities, SWAP Rate Volatilities, and the Implementation of the LIBOR Market Model, J.Hull and A.White, 1999

[7] Nonlinear Features of Realized FX Volatility, J.Maheu and T.McCurdy, 2001

[8] Volatility Dynamics under Duration-dependent Mixing, J.Maheu and T.McCurdy, 2000

[9] Identifying Bull and Bear Markets in Stock Returns, J.maheu and T.McCurdy, 2000

[10] Modeling and Forecasting Realized Volatility, T.Andersen et.al., 2001

[11] The Realized Volatility of FTSE-100 Futures Prices, N.Areal and S.Taylor, 2000

[12] The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets, C.S.Jones, 2000

[13] Dynamic Hedging in a Volatile Market, T.F.Coleman et.al., 1999

[14] Implied Trinomial Trees of the Volatility Smile, E.Derman et.al., 1996

[15] Expectations Hypothesis of the Term Structure of Implied Volatility: Re-examination, S.Byoun et.al., 1999

[16] The Price of a Smile: Hedging and Spanning in Option Markets, A.Buraschi and J.jackwerth, 2000

[17] Implied Volatility Skews and Stock index Skewness and Kurtosis Implied by S&P500 Index Option Prices, C.J.Corrado and t.Su, 1997

[18] The Distribution of Stock Return Volatility, T.G.Andersen et.al., 2000

[19] Modeling and Forecasting Realized Volatility, T.G.Andersen et.al., 2001

[20] The Distribution of Exchange Rate Volatility, T.G.Andersen et.al., 1999

[21] Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000

[22] Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility, E.Hol and S.L.Koopman, 2000

[23] Tree Structured GARCH Models, F.Audrino and P.Buhlmann, 2000

[24] Nonparametric GARCH Models, P.Buhlmann and A.J.McNeil, 1999

Risk evaluation

[1] Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis, G.J.Alexander, A.M.Baptista, 2000

[2] Value-at-Risk: a Multivariate Switching Regime Approach, M.Billio, L.Pelizzon, 2000

[3] The Ten Great Challenges of Risk Management, C.Batlin and B.Schachter, 2000

[4] Value at Risk Models for Dutch Bond Portfolios, P.J.G.Vlaar, 1999

[5] Non-Linear Value-at-Risk, M.Britten-Jones and S.M.Schaefer, 1999

[6] Asset Allocation in a Value-at-Risk Framework, R.Huisman et.al, 1999

[7] Evaluation of Value-at-Risk Models Using Historical Data, D.Hendricks, 1996

[8] A Simplified Method for Calculating the Credit Risk of Lending Portfolios, A.Ieda et.al., 2000

[9] Value at Risk Using Hyperbolic Distributions, C.Bauer, 2000

[10] Market Risk: An Introduction to the Concept & Analytics of Value-at-Risk, J.Frain and C.Meegan, 1996

[11] Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be, X.Ju and N.D.Pearson, 1998

[12] Credit Risk Optimization with Conditional Value-at-Risk Criterion, F.Andersson and S.Uryasev, 1999

[13] An Integrated Market and Credit Risk Portfolio Model, I.Iscoe et.al., 1999

[14] Assessing VaR Accuracy, K.Dowd, 2000

[15] Measuring DAX Market Risk: A Neural Network Volatility Mixture Approach, K.Bartlmae, F.A.Rauscher, 2000

[16] Value-at-Risk (VaR), S.Benninga and Z.Wiener, 1998

[17] Managing Market Risk in Banks, 1996

[18] Value-at-Risk and Extreme Returns, J.Danielsson et.al., 2000

[19] Taking VaR to Pieces, M.Garman, 1997

[20] Optimization of Conditional Value-at-Risk, R.T.Rockafellar and S.Uryasev, 1999

[21] An Overview of Value at Risk (1), D.Duffie and J.Pan, 1997

[22] VaR Calculations for Derivatives (2), D.Duffie and J.Pan, 1997

[23] Appendices (3), D.Duffie and J.Pan, 1997

[24] Extreme Behavior of Diffusion Models in Finance, M.Borkovec, 1998

[25] Value-at-Risk Analysis and Least Squares Tail Index Estimation, R.W.J van den Goorbergh, 1999

[26] Equity Allocation and Portfolio Selection in Insurance: A Simplified Portfolio Model, E.Taflin, 2000

[27] How to Measure Risk, G.Ch.Pflug, 1997

[28] Filtering Historical Simulation. Back-test Analysis, G.Barone-Adesi, 2000

[29] Conditional Value-at-Risk: Optimization Algorithms and Applications, S.Uryasev, 2000

[30] Non-Parametric VaR Techniques. Myths and Realities, G.Barone-Adesi, 2000

[31] Value-at-Risk When Daily Changes in Market Variables are Not Normally Distributed, J.Hull and A.White, 1997

[32] Incorporating Volatility Updating into the Historical Simulation Method for Value-at-Risk, J.Hull and A.White, 1998

[33] Horizon Problems and Extreme Events in Financial Risk Management, P.F.Christoffersen et.al., 1998

[34] Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints, J.Palmquist at.al., 1999

[35] Value-at-Risk Analysis of a Leveraged Swap, S.Srivastava, 1998

[36] Tracking Error and Value-at-Risk, 1997

[37] Value-at-Risk and Mixture Distributions, 1998

[38] Value-at-Risk: On the Stability and Forecasting of the Variance-Covariance Matrix, J.Engek and M.Gizycki, 1999

[39] References from D.Duffie and J.Pan, 1997

[40] Monte Carlo within a Day, J.Cardenas et.al., 1999

[41] An Analysis Framework for Bank Capital Allocation, N.Baud et.al, 2000

[42] VaR and the Unreal World, R.Hoppe, 1998

[43] Extreme Value Theory in Finance and Ensurance, P.Embrechts, 1999

[44] Developing Scenarios for Future Extreme Losses Using the POT Model, A.J.McNeil and T.Saladin, 1998

[45] Extreme Value Theory as a Risk Management Tool, P.Embrechts et.al., 1996

[46] Value-at-Risk Analysis of Stock Returns. Historical Simulations, Variance Technique or Tail Index Estimation, R. van den Goorbergh and P.Vlaar, 1999

[47] Finding Optimal Portfolios with Constraints on Value-at-Risk, A.A.Gaivoronski and G.Pflug, 1998

[48] Decomposing Portfolio Value-at-Risk: A General Analysis, W.G.Hallerbach, 1999

[49] Value-at-Risk in Portfolio Management, P.Gugi et.al., 1999

[50] Estimating Value-at-Risk with a Precision Measure by Combining Kernel Estimation with Historical Simulations, J.S.Butler and B.Schachter, 1997

[51] Value-at-Risk and Derivatives Risk, E.Falkenstein, 1997

[52] Measuring Risk with Extreme Value Theory, R.L.Smith, 1998

[53] Reliability of Neural Network Based Value-at-Risk Estimates, R.Prinzler, 1999

[54] Value-at-Risk for Asset managers, C.L.Culp et.al., 1999

[55] Analytical Value-at-Risk with Jumps and Credit Risk, D.Duffie and J.Pan, 1999

[56] Portfolio Selection with Limited Downside Risk, D.W.Jasen et.al., 2000

[57] Comparing Different Methods for Estimating Value-at-Risk (VaR) for Actual Non-Linear Portfolios: Empirical Evvidence, M.Coronado, 2000

[58] Value-at-Risk Based Portfolio Optimization, A.V.Puelz, 1999

[59] A Probabilistic Approach to Worst Case Scenarios, G.Barone-Adesi et.al, 1997

[60] Bank Capital and Value-at-Risk, P.Jackson et.al., 1998

[61] Recovery Risk in Stock Returns, A.Akgun and R.Gibson, 1999

[62] Extreme Value Thory for Tail-Related Risk Measures, R.Kellezi and M.Gilli, 2000

[63] Evolution of Market Uncertainty around Earnings Announcements, D.Isakov, C.Perignon, 2000

[64] New Insights into Smile, Mispricing and Value at Risk: the Hyperbolic Model, E.Eberlein and U.Keller, 1997

Prospect theory

[1] Prospect Theory and Asset Prices, N.Barberis, M.Huang and T.Santos, 2000

Technical analysis

[1] Application of Simple Trading Rules to Swiss Stock Prices. Is It Profitable? D.Isakov and M.Hollistein, 2000

[2] CUSUM Techniques for Technical Trading in Financial Market

[3] Embedding Technical Analysis into Neural Network Based Trading Systems, T.Chenoweth et.al., 1997

[4] Neural Networks for Technical Ananlysis: A Stidy on KLCI, J.Yao et.al., 1996

[5] Predicting the Stock Market, T.Hellstrom, 1998

[6] Data-Snooping, Technical trading Rule Performance, and Bootstrap, R.Sullivan et.al., 1997

[7] Technical Trading Rules in the European Monetary System, C.J.Neely and P.A.Weller, 1998

[8] Technical Analysis in the Foreign Exchange Market: A Layman's Guide, C.J.Neely, 1997

[9] Financial Returns and Efficiency as seen by an Artificial Technical Analyst, S.Skouras, 1998

Data patterns

[1] Systematic Patterns Before and After Large Price Changes: Evidence From High Frequency Data from Paris Bourse, F.Hamelink, 1999

[2] Predictable Patterns in Stock Returns, T.Hellstrom, 1997

[3] Asymmetric Cross-Sectional Dispersion in Stock Returns: Evidence and Implications, G.R.Duffee, 2000

Bond pricing

[1] Who Should Buy Long-Term Bonds? J.Y.Campbell and L.M.Viceira, 1998

[2] A Note on Risky Bond Valuation, C.H.Hui and C.F.Lo, 2000

[3] Vulnerable Options, Risky Corporate Bonds and Credit Spread, M.Cao and J.Wei, 2000

[4] Valuation of Defaultable Bonds Using Signal Processing - An extension, C.Lo and C.Hui, 1999

Option pricing

[1] Credit Spread Specification and the Pricing of Spread Options, N.Mougeot, 2000

[2] Option Pricing and Replication with Transaction Costs and Devidends, S.Perrakis and J.Lefoll, 1999

[3] General Properties of Option Prices, Y.Z.Bergman et.al., 1996

[4] On the Nature of Options, P.Carr and D.Madan, 2000

[5] Hedging Options under Transaction Costs and Stochastic Volatility, J.Gondzio et.al., 2000

[6] A Test of the Use of the Implied Volatility Function Model to Price Exotic Options, J.Hull and W.Suo, 2000

[7] A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model, J.Hull and W.Suo, 2000

[8] New Methodology for Valuing Derivatives, S.H.Paskov, 1997

[9] Numerical Valuation of High Dimensional Multivariate American Securities, J.Barraquand and D.Martineau, 1994

[10] Good-dela Option Price Bounds with Stochastic Volatility and Stochastic Interest Rate, J.H.Cochrane and J.Saa-Requejo, 1999

[11] Valuation of the American Put Option: a Dynamic Programming Approach, L.Garlappi, 1996

[12] Option Pricing Implication of a Stochastic Jump Rate, H.Fang, 2000

[13] Jumping in Line, G.Albanese et.al., 2000

[14] Pricing Exotics under the Smile, M.Jex et.al., 1999

[15] Valuing Options on Baskets of Stocks and Forecasting the Shape of Volatility Skews, J.Z.Zou, 2000

[16] The Pricing of Options Depending on a Discrete Maximum, E.Nahum, 1998

[17] Back to Basics: Historical Option Pricing Revisited, J.P.Bouchaud and M.Potters, 1998

[18] A Numerical Procedure for Pricing American-style Asian Options, H.B.Ameur et.al., 2000

[19] Hedging Complex Barrier Options, P.Carr and A.Chou, 1997

[20] Path-Dependent Multicurrency Interest Rate Derivatives, M.Chu, 1998

[21] Closed Form Valuation of American Barrier Options, E.G.Haug and P.Patners, 2000

[22] Competetive Monte Carlo Methods for the Pricing of Asian Options, B.Lapeyre and E.Tamam, 2000

[23] Consequences for Option Pricing of a Long Memory in Voaltility, S.J.Taylor, 2000

[24] Convergence of Lattice and PDE Methods for Pricing Asian Options, P.A.Forsyth et.al., 1998

[25] Pricing Interest Rate Derivatives: A General Approach, G.Chacko and S.Das, 1999

[26] Hedging Options under Transaction Costs and Stochastic Volatility, J.Gondzio et.al., 2000

[27] Barrier Put-Call Transformation, E.G.Haug, 1999

[28] Very Fast Algorithm for Barrier Option Pricing and the Ballot Problem, Y.D.Lyuu, 1998

[29] Pricing of Asian Exchange Rate Options Under Stochastic Interest Rates As a Sum of Delayed Payment Options, J.A.Nielsen and K.Sandmann, 1999

[30] Approximate Option Pricing, P.Chalasani, et.al., 1997

[31] Binomial Models for Option Valuation - Examining and Improving Convergence, D.Leisen and M.Reimer, 1995

SWAP pricing

[1] Valuing Credit Default SWAPs I: No Counterparty Default Risk, J.Hull and A.White, 2000

[2] Valuing Credit Default SWAPs II: Modeling Default Correlations, J.Hull and A.White, 2000

Arbitrage trading

[1] From Utility Maximization to Arbitrage Pricing and Back, A.E.MacKay, E.Z.Prisman, 2000

[2] Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets, J.H.Cochrane and J.Saa-Requejo, 1999

[3] Insider Information, Arbitrage and Optimal Portfolio and Consumption Policies, M.Rindisbacher, 2000

[4] Option Pricing, Arbitrage and Martingales, A.Pelsser and T.Vorst, 1997

[5] A Robust Non-Linear Multivariate Kalman Filter for Arbitrage Identification in High-Frequency Data, P.J.Bolland and J.T.Connor, 1996