Optimisation, Econometric and Financial Analysis

  • Erricos John Kontoghiorghes
  • Cristian Gatu
Part of the Advances in Computational Management Science book series (AICM, volume 9)

Table of contents

  1. Front Matter
    Pages I-X
  2. Optimisation Models and Methods

    1. Front Matter
      Pages 1-1
    2. Chetan Yadati, Carlos A.S. Oliveira, Panos M. Pardalos
      Pages 51-66
    3. Frédéric Babonneau, Cesar Beltran, Alain Haurie, Claude Tadonki, Jean-Philippe Vial
      Pages 67-89
  3. Econometric Modelling and Prediction

    1. Front Matter
      Pages 105-105
    2. Alessandra Amendola, Marcella Niglio, Cosimo Vitale
      Pages 127-141
    3. Stephen Pollock
      Pages 143-166
    4. Stephen Pollock, Iolanda Lo Cascio
      Pages 167-203
  4. Financial Modelling

    1. Front Matter
      Pages 225-225
    2. Patrick Burns
      Pages 227-249
    3. Nicos Koussis, Spiros H. Martzoukos, Lenos Trigeorgis
      Pages 251-271
  5. Back Matter
    Pages 273-277

About these proceedings

Introduction

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.  

Keywords

Decision Modelling Econometrics Financial Modeling Financial Modelling Heuristics Optimisation Optimization algorithm Portfolio Selection Signal Extraction algorithms calculus modeling optimization programming statistics

Editors and affiliations

  • Erricos John Kontoghiorghes
    • 1
  • Cristian Gatu
    • 2
  1. 1.Department of Public and Business AdministrationUniversity of Cyprus75 Kallipoleos StCyprus
  2. 2.Institut d’ InformatiqueUniversité de NeuchatelRue Emile-Argand 11, CP2Switzerland

Bibliographic information

  • DOI https://doi.org/10.1007/3-540-36626-1
  • Copyright Information Springer-Verlag Berlin Heidelberg 2007
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Computer Science
  • Print ISBN 978-3-540-36625-6
  • Online ISBN 978-3-540-36626-3
  • Series Print ISSN 1388-4301