A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets fundamentals may help to make more appropiate choices. However...

In an American continuous-installment option the premium, instead of being paid up-front, is paid at a certain rate per unit time. At any time at or before maturity date, the holder has the right to terminate payments and either exercise the option or "walk away" from deal. Under the standard...

The interdependence of financial markets combined with their volatility make the multivariate GARCH model a suitable econometric framework for analysing their behaviour. However, the non-availability of analytical derivatives in a general context and the computational heaviness resulting from a...

This paper introduces the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures.

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.