Several attempts have been made to reduce the impact of estimation errors on the optimal portfolio composition. On the one hand, improved estimators of the necessary moments have been developed and on the other hand, heuristic methods have been generated to enhance the portfolio performance, for...

Options with embedded early exercise features are of fundamental importance in finance. A simple example is the hedge of a multi-callable bond. This instrument is hedged using a Bermudan swaption.Bermudan swaptions also play a key role when pricing callable constant maturity swaps or flexible...

Two of the most important areas in computational finance: Greeks and, respectively, calibration, are based on efficient and accurate computation of a large number of sensitivities. This paper gives an overview of adjoint and automatic differentiation (AD), also known as algorithmic...

Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by investing in a smaller number of constituents or assets. The tracking portfolio should be cheap to maintain and update, i.e., invest in a smaller number of constituents than the...

An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...

This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset portfolio choice under volatile market conditions. It does so by developing computational simulations of asset portfolios, which are then subjected to stressful price events. A...

LOT liquidity model, which is a kind of Tobit model with two unknown censoring points, is commonly used in the literature of microstructure of financial markets to estimate transaction costs and market liquidity from the observed return series. As far as the estimation is concerned, method based...