This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with sto

The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally ap

This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed f

Most of the existing portfolio selection models are based on the probability theory. Though they often deal with the uncertainty via probabilistic - proaches, w

Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of busine