The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

Research on option pricing and application

本论文致力于期权定价与应用有关问题的研究，主要工作包括：1对单个吸收障碍随机移动的反射原理和Boyle-lau算法为单个障碍期权定价进行了阐述和说明，在此基础上探讨了两吸收障碍随机移动的反射原理，提出了扩展Boyle-lau二项式算法对双重敲出期权进行定价求解。2探讨了当标的资产价格遵循不变方差弹性（CEV）过程时算术亚式期权的定价问题，提出了一个三叉树方法来对CEV过程进行近似处理，并利用其为算术亚式期权的不同品种-平均价格型期权和平均执行价格型期权进行定价。3研究一种奇异路径依赖型期权-具有虹式特征的亚洲期权的定价问题。基于Black-Scholes模型的假设条件，利用多维ITO引理和无套...This dissertation focuses on studying option exotic pricing and many application problems. The main works are as follows: 1. Illustrate the reflection principle for a random walk with one absorbing barrier and show the Boyle-Lau algorithm for pricing single barrier options. On the basis of them, we consider the reflection principle for random walks with two absorbing barriers, and extend the Boyle...学位：博士后院系专业：管理学院工商管理教育中心_工商管理硕士(MBA)学号：BH1700002

Modeling financial environments using geometric fractional Brownian motion model with long memory stochastic volatility

Geometric Fractional Brownian Motion (GFBM) model is widely used in financial environments. This model consists of important parameters i.e. mean, volatility, and Hurst index, which are significant to many problems in finance particularly option pricing, value at risk, exchange rate, and mortgage insurance. Most current works investigated GFBM under the assumption of its volatility that is constant due to its simplicity. However, such assumption is normally rejected in most empirical studies. Therefore, this research develops a new GFBM model that can better describe and reflect real life situations particularly in financial scenario. All parameters involved in the developed model are estimated by using innovation algorithm. A simulation study is then conducted to determine the performance of the new model. The results of simulation reveal that the proposed estimators are efficient based on the bias, variance, and mean square error. Subsequently, two theorems on existence and uniqueness of the solution for the new model and its generalisation are constructed. The validation of the developed model was then carried out by comparing with other models in forecasting adjusted prices of Standard and Poor 500, Shanghai Stock Exchange Composite Index, and FTSE Kuala Lumpur Composite Index. Empirical studies on four selected financial applications, i.e. option pricing, value at risk, exchange rate, and mortgage insurance, indicate that the new model performs better than the existing ones. Hence, the new model has strong potential to be employed as an underlying model for any financial applications that capable of reflecting the real situation more accurately

Consumo e inversión óptimos y valuación de opciones asiáticas en un entorno estocástico con fundamentos microeconómicos y simulación Monte Carlo

(Optimal consumption and investment and Asian option pricing in a stochastic environment with microeconomic foundations and Monte Carlo simulation)Abstract. This research presents an alternative model that characterizes the price of an  European-style Asian put option with variable exercise price with arithmetic average subscribed on an stock whose volatility is stochastic, through a system of differential equations that comes from a model of stochastic optimal control in continuous time. For this purpose, a model of a rational agent is developed that has an initial wealth and faces the decision of distributing its wealth between consumption and investment in a portfolio of assets, which includes an European-style Asian put option  with exercise price with arithmetic average, in a finite temporal horizon. The valuation is carried out in terms of the amount that the consumer is willing to pay to maintain its Asian option contract in order to hedge against market risk. Also, prices of European and Asian call and put options  are approximated by Monte Carlo simulation with calibrated parameters adapting the Cox-Ingersoll-Ross model with realized volatility. The valuation formula obtained was not determined by fundamentals of economic rationality. The empirical evidence indicates that prices are very close in the short term, but in the long term, the difference between European and Asian prices increases.En esta investigación se presenta un modelo alternativo que caracteriza el precio de una opción asiática de venta del tipo europeo con precio de ejercicio variable con media aritmética suscrita sobre una acción cuya volatilidad es estocástica; mediante un sistema de ecuaciones diferenciales que proviene de un modelo de control óptimo estocástico en tiempo continuo. Para tal efecto se desarrolla un modelo de un agente racional que dispone de una riqueza inicial y enfrenta la decisión de distribuir su riqueza entre consumo e inversión en un portafolio de activos, que incluye una opción asiática de venta y europea con precio de ejercicio con media aritmética, en un horizonte temporal finito. La valuación se lleva a cabo en términos del monto que el consumidor está dispuesto a pagar por mantener su contrato de opción asiática a fin de cubrirse contra riesgo de mercado. Asimismo, se aproximan los precios de opciones europeas y asiáticas de compra y venta por simulación Monte Carlo con parámetros calibrados adaptando el modelo de Cox-Ingersoll-Ross con volatilidad realizada. La fórmula de valuación obtenida no se había determinado mediante fundamentos de racionalidad económica. La evidencia empírica señala que los precios son muy cercanos en el corto plazo, pero a largo plazo, la diferencia entre las europeas y las asiáticas aumenta

An empirical study on the various stock market prediction methods

Investment in the stock market is one of the much-admired investment actions. However, prediction of the stock market has remained a hard task because of the non-linearity exhibited. The non-linearity is due to multiple affecting factors such as global economy, political situations, sector performance, economic numbers, foreign institution investment, domestic institution investment, and so on. A proper set of such representative factors must be analyzed to make an efficient prediction model. Marginal improvement of prediction accuracy can be gainful for investors. This review provides a detailed analysis of research papers presenting stock market prediction techniques. These techniques are assessed in the time series analysis and sentiment analysis section. A detailed discussion on research gaps and issues is presented. The reviewed articles are analyzed based on the use of prediction techniques, optimization algorithms, feature selection methods, datasets, toolset, evaluation matrices, and input parameters. The techniques are further investigated to analyze relations of prediction methods with feature selection algorithm, datasets, feature selection methods, and input parameters. In addition, major problems raised in the present techniques are also discussed. This survey will provide researchers with deeper insight into various aspects of current stock market prediction methods

SciTech News Volume 71, No. 2 (2017)

Columns and Reports From the Editor 3 Division News Science-Technology Division 5 Chemistry Division 8 Engineering Division 9 Aerospace Section of the Engineering Division 12 Architecture, Building Engineering, Construction and Design Section of the Engineering Division 14 Reviews Sci-Tech Book News Reviews 16 Advertisements IEEE

RANKING TRAVEL AND TOURISM ENABLERS IN INDIA USING A FUZZY APPROACH

This paper seeks to review the enablers for the Travel & Tourism (T&T) industry in India and to rank these factors. The paper aims to introduce a fuzzy TOPSIS approach for this purpose. The paper begins with a literature review to investigate the significant enablers in the T&T sector. The research was conducted among the tourists in the northern state of Uttarakhand, India which is a famous tourist destination both for adventure and pilgrimage. Fuzzy TOPSIS approach is used to meet the objectives of the study. Required information was gathered through a questionnaire. The results show that Safety & Security, Price, Transport and Infrastructure are the most important factors in Indian context.The paper will be helpful in enabling the T&T industry policy makers to identify the key service factors in the sector and take the improvement measuresThe concept of ranking T&T enablers using a Fuzzy TOPSIS is a new approach. The study is the unique application of a fuzzy approach to examine and rank customer expectations of the T&T enablers in Indian context