1: Market Dynamics and Risk -- Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management -- Stability Analysis and Forecasting Implications -- Time-Varying Risk Premia -- A Data Matrix to Investigate Independence, Over Reaction and/or Shock Persistence in Financial Data -- Forecasting High Frequency Exchange Rates Using Cross-Bicorrelations -- Stochastic Lotka-Volterra Systems of Competing Auto-Catalytic Agents Lead Generically to Truncated Pareto Power Wealth Distribution, Truncated Levy-Stable Intermittent Market Returns, Clustered Volatility, Booms and Crashes -- 2: Trading and Arbitrage Strategies -- Controlling Nonstationarity in Statistical Arbitrage Using a Portfolio of Cointegration Models -- Nonparametric Tests for Nonlinear Cointegration -- Comments on "A Nonparametric Test for Nonlinear Cointegration" -- Reinforcement Learning for Trading Systems and Portfolios: Immediate vs Future Rewards -- An Evolutionary Bootstrap Method for Selecting Dynamic Trading Strategies -- Discussion of "An Evolutionary Bootstrap Method for Selecting Dynamic Trading Strategies" -- Multi-Task Learning in a Neural Vector Error Correction Approach for Exchange Rate Forecasting -- Selecting Relative-Value Stocks with Nonlinear Cointegration -- 3: Volatility Modeling and Option Pricing -- Option Pricing with Neural Networks and a Homogeneity Hint -- Bootstrapping Garch(1,1) Models -- Using Illiquid Option Prices to Recover Probability Distributions -- Modeling Financial Time Series Using State Space Models -- Forecasting Properties of Neural Network Generated Volatility Estimates -- Interest Rates Structure Dynamics: A Non-Parametric Approach -- State Space ARCH: Forecasting Volatility with a Stochastic Coefficient Model -- 4: Term Structure and Factor Models -- Empirical Analysis of the Australian and Canadian Money Market Yield Curves: Results Using Panel Data -- Time-Varying Factor Sensitivities in Equity Investment Management -- Discovering Structure in Finance Using Independent Component Analysis -- Fitting No Arbitrage Term Structure Models Using a Regularisation Term -- Quantification of Sector Allocation at the German Stock Market -- 5: Corporate Distress Models -- Predicting Corporate Financial Distress Using Quantitative and Qualitative Data: A Comparison of Standard and Collapsible Neural Networks -- Credit Assessment Using Evolutionary MLP Natwork -- Exploring Corporate Bankruptcy with Two-Level Self-Organizing Map -- The Ex-Ante Classification of Takeover Targets Using Neural Networks -- 6: Advances on Methodology-Short Notes -- Forecasting Non-Stationary Financial Data with OIIR-Filters and Composed Threshold Models -- Portfolio Optimisation with Cap Weight Restrictions -- Are Neural Network and Econometric Forecasts Good for Trading? Stochastic Variance Models as a Filter Rule -- Incorporating Prior Knowledge about Financial Markets through Neural Multitask Learning -- Predicting Time-Series with a Committee of Independent Experts Based on Fuzzy Rules -- Multiscale Analysis of Time Series Based on A Neuro-Fuzzy-Chaos Methodology Applied to Financial Data -- On the Market Timing Ability of Neural Networks: An Empirical Study Testing the Forecasting Performance -- Currency Forecasting Using Recurrent RBF Networks Optimized by Genetic Algorithms -- Exchange Rate Trading Using a Fast Retraining Procedure for Generalised RBF Networks.