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Optimisation, Econometric and Financial Analysis

  • Conference proceedings
  • © 2007

Overview

Editors:
  1. Erricos John Kontoghiorghes

    1. Department of Public and Business Administration, University of Cyprus, 75 Kallipoleos St, Cyprus

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    You can also search for this editor in PubMed   Google Scholar

  2. Cristian Gatu

    1. Institut d’ Informatique, Université de Neuchatel, Rue Emile-Argand 11, CP2, Switzerland

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Advances in Computational Management Science (AICM, volume 9)

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Table of contents (12 papers)

  1. Front Matter

    Pages I-X
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  2. Optimisation Models and Methods

    1. Front Matter

      Pages 1-1
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    2. A Supply Chain Network Perspective for Electric Power Generation, Supply, Transmission, and Consumption

      • Anna Nagurney, Dmytro Matsypura
      Pages 3-27

    3. Worst-Case Modelling for Management Decisions under Incomplete Information, with Application to Electricity Spot Markets

      • Mercedes Esteban-Bravo, Berc Rustem
      Pages 29-50

    4. An Approximate Winner Determination Algorithm for Hybrid Procurement Mechanisms Logistics

      • Chetan Yadati, Carlos A.S. Oliveira, Panos M. Pardalos
      Pages 51-66

    5. Proximal-ACCPM: A Versatile Oracle Based Optimisation Method

      • Frédéric Babonneau, Cesar Beltran, Alain Haurie, Claude Tadonki, Jean-Philippe Vial
      Pages 67-89

    6. A Survey of Different Integer Programming Formulations of the Travelling Salesman Problem

      • A.J. Orman, H.P. Williams
      Pages 91-104

  3. Econometric Modelling and Prediction

    1. Front Matter

      Pages 105-105
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    2. The Threshold Accepting Optimisation Algorithm in Economics and Statistics

      • Peter Winker, Dietmar Maringer
      Pages 107-125

    3. The Autocorrelation Functions in SETARMA Models

      • Alessandra Amendola, Marcella Niglio, Cosimo Vitale
      Pages 127-141

    4. Trend Estimation and De-Trending

      • Stephen Pollock
      Pages 143-166

    5. Non-Dyadic Wavelet Analysis

      • Stephen Pollock, Iolanda Lo Cascio
      Pages 167-203

    6. Measuring Core Inflation by Multivariate Structural Time Series Models

      • Tommaso Proietti
      Pages 205-223

  4. Financial Modelling

    1. Front Matter

      Pages 225-225
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    2. Random Portfolios for Performance Measurement

      • Patrick Burns
      Pages 227-249

    3. Real Options with Random Controls, Rare Events, and Risk-to-Ruin

      • Nicos Koussis, Spiros H. Martzoukos, Lenos Trigeorgis
      Pages 251-271

  5. Back Matter

    Pages 273-277
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Keywords

About this book

Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. The chapters in this part cover the application of threshold accepting in econometrics, the structure of threshold autoregressive moving average models, wavelet analysis and signal extraction techniques in time series. The third and final part of the book is about the use of optimisation in portfolio selection and real option modelling.

Editors and Affiliations

  • Department of Public and Business Administration, University of Cyprus, 75 Kallipoleos St, Cyprus

    Erricos John Kontoghiorghes

  • Institut d’ Informatique, Université de Neuchatel, Rue Emile-Argand 11, CP2, Switzerland

    Cristian Gatu

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