The term structure of credit spreads is studied with an aim to predict its future movements. A completely new approach to tackle this problem is presented, which utilizes nonlinear parametric models. The Brain-Cousens regression model with five parameters is chosen to describe the term structure...

In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evolutionary optimization environment are ideally suited for an integration of various types of...

Multi-stage financial decision optimization under uncertainty depends on a careful numerical approximation of the underlying stochastic process, which describes the future returns of the selected assets or asset categories. Various approaches towards an optimal generation of discrete-time,...

We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated by a maximum likelihood approach using historical rating...

In this paper we apply evolutionary optimization techniques to compute optimal rule-based trading strategies based on financial sentiment data. The sentiment data was extracted from the social media service StockTwits to accommodate the level of bullishness or bearishness of the online trading...

In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the optimization problem becomes non-trivial in the long-short...

In this paper we study algorithms for pricing of interest rate instruments using recombining tree (scenario lattice) interest models. The price is defined as expected discounted cash flow. If the cash-flow generated by the instrument depends on the full or partial history of interest rates...