Handbook of Financial Engineering

Over the past decade the financial and business environments have undergone significant changes. During the same period several advances have been made within the field of financial engineering, involving both the methodological tools as well as the application areas.

This comprehensive edited volume discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems.

This book is divided into four major parts, each covering different aspects of financial engineering and modeling such as portfolio management and trading, risk management, applications of operation research methods, and credit rating models.

Handbook of Financial Engineering is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Portfolio Management and Trading.- Portfolio Selection in the Presence of Multiple Criteria.- Applications of Integer Programming to Financial Optimization.- Computing Mean/Downside Risk Frontiers: The Role of Ellipticity.- Exchange Traded Funds: History, Trading, and Research.- Genetic Programming and Financial Trading: How Much About "What We Know".- Risk Management.- Interest Rate Models: A Review.- Engineering a Generalized Neural Network Mapping of Volatility Spillovers in European Government Bond Markets.- Estimating Parameters in a Pricing Model with State-Dependent Shocks.- Controlling Currency Risk with Options or Forwards.- Operations Research Methods in Financial Engineering.- Asset Liability Management Techniques.- Advanced Operations Research Techniques in Capital Budgeting.- Financial Networks.- Mergers, Acquisitions, and Credit Risk Ratings.- The Choice of the Payment Method in Mergers and Acquisitions.- An Application of Support Vector Machines in the Prediction of Acquisition Targets: Evidence from the EU Banking Sector.- Credit Rating Systems: Regulatory Framework and Comparative Evaluation of Existing Methods.