Subject: Financial applications Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii"; format=flowed
A number of people have asked me to post my responses concerning applications in the financial sector. They follow: Shenoy, Catherine; Shenoy, Prakash P. - Bayesian Network Models of Portifolio Risk and Return - 1998 Alexander, Carol - Bayesian Methods for Measuring Operational Risk. Discussion Papers in Finance. 2000. ISMA Centre. "Fidel Reyes Ramos" <[EMAIL PROTECTED]> To: "Rich Neapolitan" <[EMAIL PROTECTED]> Subject: RE: [UAI] Financial applications Date: Mon, 29 Sep 2003 15:50:45 -0500 X-Mailer: Microsoft Outlook Express 5.00.2615.200 Dear Dr. Napolitan, Some months ago i asked this community about applications of influence diagrams in Real Options and i got the answers that i send you at the end of this message. In addition, someone else (I did not save the message) told me to search for the work of James E. Smith (about applying decision theory in petroleum exploration investments). What i have really is a paper dated in Feabruary 1999 in Operations Research: "Options in the real world: Lessons learned in evaluating oil and gas investments". One else: "Comparing three methods for evaluating oil projects: Options pricing, decision trees and monte carlo simulations", A, Galli, M. Armstrong, SPE 52949 See also papers written by "Prakash B.Shenoy", http://lark.cc.ku.edu/~pshenoy/ Here is the answers i got a time ago: Tema: RE: [UAI] Influence diagrams and real options Fecha: Thu, 24 Apr 2003 08:58:32 +0200 De: Langseth Helge [EMAIL PROTECTED] Para: [EMAIL PROTECTED] Responder A:: Langseth Helge [EMAIL PROTECTED] I would be very interested in getting copies on any emails you get regarding the real options. Thanks in advance hl Tema: RE: [UAI] Influence diagrams and real options Fecha: Wed, 23 Apr 2003 14:02:33 -0700 De: Agosta, John M [EMAIL PROTECTED] Para: [EMAIL PROTECTED] Responder A:: Agosta, John M [EMAIL PROTECTED] "Fframos" -- It is not hard to formulate a discrete time version of the Black Sholes partial differential equations as a dynamic Bayes net. There's a (probably equivalent) stochastic dynamic programming version of this in S. Ross's book with the same title. - - -john mark Tema: Re: [UAI] Influence diagrams and real options Fecha: Wed, 23 Apr 2003 13:52:38 -0700 (PDT) De: [EMAIL PROTECTED] Para: [EMAIL PROTECTED] Responder A:: [EMAIL PROTECTED] Hi -- Interesting questions.. I don't have any answers (although I'd be interested in doing some experiments from published prices), but I'd appreciate it if you shared your responses. Thanks Ranjan Bagchi On Wed, 23 Apr 2003 Tema: Re: [UAI] Influence diagrams and real options Fecha: Wed, 23 Apr 2003 13:45:27 -0700 De: Frank Ryan [EMAIL PROTECTED] Para: [EMAIL PROTECTED] Responder A:: "Frank Ryan" See: http://www.knacta.com/Real_Option_Manager.htm - - ----- Original Message ----- Fecha: Wed, 23 Apr 2003 14:56:43 -0500 (CDT) De: Haipeng Guo [EMAIL PROTECTED] Para: [EMAIL PROTECTED] Responder A:: Haipeng Guo [EMAIL PROTECTED] Try the following link: http://lark.cc.ku.edu/~pshenoy/ http://lark.cc.ukans.edu/~rdemirer/webdoc2.htm I am also interested in what you will be receiving from the list. Cheers, - - -hpguo ============================================ Haipeng Guo Department of CIS, Kansas State University [EMAIL PROTECTED] [Enviar], [EMAIL PROTECTED] [Enviar] http://www.cis.ksu.edu/~hpguo ============================================ On Wed, 23 Apr 2003 [EMAIL PROTECTED] [Enviar] wrote: > Dear UAI users, > > Do you know papers, software or proposals that use influence diagrams to > valuate real options (assesing real assets in future)? > > Is there an application of bayesian networks, influence diagrams or > decision trees in financial fields? > > Thank you. > > We've been working towards a partnership with a high volume ASP Credit Card Authorization startup but there is nothing in place at this time. One of our ISV partners has built a simple interactive demo of a Credit Authorization Bayes net with bogus conditionals that you can see at www.elinkedge.com, sign in for the demo as Fraud and use as password LBSI. This same ISV has completed field testing of an Internal Audit Planning Systems based upon KI software that his client - a Fortune 50 firm - will install next year. He has also built an Internal Auditor's Assistant that has been field tested and is being prepared for implementation. I think it would be a great idea - we just don't have the domain knowledge within KI to build anything in this area - our focus is on building partnerships with domain experts (ISVs) to leverage our software into as many domains as possible. That is about all we've done in the financial arena - and we would very much like to find one or more ISV partners in the financial sector to apply KI software for the benefit of their clients. Does this interest you? If not, do you know someone who would be interested? Cheers, Ed Olmstead 408 554 0712
