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Search Results for Collection: College of Business and Law
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(Springer, 2012)The last ten years has seen the introduction and rapid growth of a market in weather derivatives, financial instruments whose payoffs are determined by the outcome of an underlying weather metric. These instruments allow ...
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(Springer, 2010)Although there is a plentiful literature on the use of evolutionary methodologies for the trading of Financial assets, little attention has been paid to the issue of efficient trade execution. Trade execution is concerned ...
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(Springer, 2010)Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to potential use of these methods for efficient trade execution. Trade ...
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(IEEE Press, 2010)Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. A practical problem in trade execution is how to trade a large order as efficiently as ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2010-05-24)This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2010-06)We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Super-Time- Stepping (STS). The technique is applied to the ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2010-06-10)A scaled self-decomposable stochastic process put forward by Carr, Geman, Madan and Yor (2007) is used to model long term equity returns and options prices. This parsimonious model is compared to a number of other ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2010-01)This study assesses prospective Asian exchange rate regimes and finds short- and longrun currency dynamics more conducive to the introduction of a common peg based on a basket of the European euro, the United States ...
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(Cambridge Journals, 2010-06)This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...
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(IEEE Press, 2010-07)Asset allocation is critical for the portfolio management process. In this paper, we solve a dynamic asset allocation problem through a multiperiod stochastic programming model. The objective is to maximise the expected ...