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.

Introduction to the special issue on neural networks in financial engineering

There are several phases that an emerging field goes through before it reaches maturity, and computational finance is no exception. There is usually a trigger for the birth of the field. In our case, new techniques such as neural networks, significant progress in computing technology, and the need for results that rely on more realistic assumptions inspired new researchers to revisit the traditional problems of finance, problems that have often been tackled by introducing simplifying assumptions in the past. The result has been a wealth of new approaches to these time-honored problems, with significant improvements in many cases

Combining domain knowledge and statistical models in time series analysis

This paper describes a new approach to time series modeling that combines subject-matter knowledge of the system dynamics with statistical techniques in time series analysis and regression. Applications to American option pricing and the Canadian lynx data are given to illustrate this approach.Comment: Published at http://dx.doi.org/10.1214/074921706000001049 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org

Wavelet-based option pricing: An empirical study

In this paper, we adopt a wavelet-based option valuation model and empirically compare the pricing and forecasting performance of this model with that of the stochastic volatility model with jumps and the spline method. Both the in-sample valuation and out-of-sample forecasting accuracy are examined using daily index options in the UK, Germany, and Hong Kong from January 2009 to December 2012. Our results show that the wavelet-based model compares favorably with the other two models and that it provides an excellent alternative for valuing option prices. Its superior performance comes from the powerful ability of the wavelet method in approximating the risk-neutral moment-generating functions

Risk pricing practices in finance, insurance and construction

A review of current risk pricing practices in the financial, insurance and construction sectors is conducted through a comprehensive literature review. The purpose was to inform a study on risk and price in the tendering processes of contractors: specifically, how contractors take account of risk when they are calculating their bids for construction work. The reference to mainstream literature was in view of construction management research as a field of application rather than a fundamental academic discipline. Analytical models are used for risk pricing in the financial sector. Certain mathematical laws and principles of insurance are used to price risk in the insurance sector. construction contractors and practitioners are described to traditionally price allowances for project risk using mechanisms such as intuition and experience. Project risk analysis models have proliferated in recent years. However, they are rarely used because of problems practitioners face when confronted with them. A discussion of practices across the three sectors shows that the construction industry does not approach risk according to the sophisticated mechanisms of the two other sectors. This is not a poor situation in itself. However, knowledge transfer from finance and insurance can help construction practitioners. But also, formal risk models for contractors should be informed by the commercial exigencies and unique characteristics of the construction sector

Applications in computational finance with a focus on approximation of financial time series by neurocomputing

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Neural option pricing for rough Bergomi model

The rough Bergomi (rBergomi) model can accurately describe the historical and implied volatilities, and has gained much attention in the past few years. However, there are many hidden unknown parameters or even functions in the model. In this work, we investigate the potential of learning the forward variance curve in the rBergomi model using a neural SDE. To construct an efficient solver for the neural SDE, we propose a novel numerical scheme for simulating the volatility process using the modified summation of exponentials. Using the Wasserstein 1-distance to define the loss function, we show that the learned forward variance curve is capable of calibrating the price process of the underlying asset and the price of the European-style options simultaneously. Several numerical tests are provided to demonstrate its performance