PartIPortfolioOptimizationandOptionPricing
ThresholdAcceptingApproachtoImproveBound-based
ApproximationsforPortfolioOptimization
DanielKuhn,PanosParpas,Ber?cRustem .......................... 3
RiskPreferencesandLossAversioninPortfolioOptimization
DietmarMaringer ............................................... 27
GeneralizedExtremeValueDistributionandExtreme
EconomicValueatRisk(EE-VaR)
AmadeoAlentorn,SheriMarkose .................................. 47
PortfolioOptimizationunderVaRConstraintsBasedon
DynamicEstimatesoftheVariance-CovarianceMatrix
KatjaSpecht,PeterWinker ....................................... 73
OptimalExecutionofTime-ConstrainedPortfolio
Transactions
FaridAitSahlia,Yuan-ChyuanSheu,PanosM.Pardalos .............. 95
SemideniteProgrammingApproachesforBoundingAsian
OptionPrices
GeorgiosV.Dalakouras,RoyH.Kwon,PanosM.Pardalos............103
TheEvaluationofDiscreteBarrierOptionsinaPathIntegral
Framework
CarlChiarella,NadimaElCHassan,AdamKucer ....................117

XContents
PartIIEstimationandClassication
RobustPredictionofBeta
MarcG.Genton,ElvezioRonchetti.................................147
NeuralNetworkModellingwithApplicationstoEuro
ExchangeRates
MicheleLaRocca,CiraPerna .....................................163
TestingUncoveredInterestRateParityandTermStructure
UsingMultivariateThresholdCointegration
JayaKrishnakumar,DavidNeto ...................................191
ClassicationUsingOptimization:ApplicationtoCredit
RatingsofBonds
VladimirBugera,StanUryasev,GrigoryZrazhevsky ..................211
EvolvingDecisionRulestoDiscoverPatternsinFinancial
DataSets
AlmaLiliaGarc?a-Almanza,EdwardP.K.Tsang,EdgarGalvan-Lopez..239

AlmaLiliaGarc?a-Almanza,EdwardP.K.Tsang,EdgarGalvan-Lopez..239
PartIIIBanking,RiskandMacroeconomicModelling
ABankingFirmModel:TheRoleofMarket,Liquidityand
CreditRisks
BrendaGonzalez-Hermosillo,JennyX.Li...........................259
IdenticationofCriticalNodesandLinksinFinancial
NetworkswithIntermediationandElectronicTransactions
AnnaNagurney,QiangQiang .....................................273
AnAnalysisofSettlementRiskContagioninAlternative
SecuritiesSettlementArchitectures
GiuliaIori,ChristopheDeissenberg.................................299
IntegratedRiskManagement:RiskAggregationand
AllocationUsingIntelligentSystems
AndreasMitschele,FrankSchlottmann,DetlefSeese ..................317
AStochasticMonetaryPolicyInterestRateModel
ClaudioAlbanese,ManlioTrovato..................................343
Duali:SoftwareforSolvingStochasticControlProblemsin
Economics
DavidA.Kendrick,MarcoP.Tucci,HansM.Amman................393
Index ..........................................................421