Volume 16, Issue 1-2

Search all Computational Management Science articles

February 2019

Special issue: 14th International Conference on Computational Management Science

Issue Editors:

Rosella Giacometti,
Berç Rustem

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15 articles in this issue

14th International Conference on Computational Management Science
Rosella Giacometti
Berç Rustem
Editorial 21 January 2019 Pages: 1 - 2
Blocks of coordinates, stochastic programming, and markets
Sjur Didrik Flåm
Original Paper 08 March 2018 Pages: 3 - 16
Multistage portfolio optimization with multivariate dominance constraints
Barbora Petrová
Original Paper 20 August 2018 Pages: 17 - 46
Optimal strategies with option compensation under mean reverting returns or volatilities
Stefano Herzel
Marco Nicolosi
Original Paper 30 December 2017 Pages: 47 - 69
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
Asmerilda Hitaj
Lorenzo Mercuri
Edit Rroji
Original Paper 23 April 2018 Pages: 71 - 95
Timing portfolio strategies with exponential Lévy processes
Sergio Ortobelli Lozza
Enrico Angelelli
Alda Ndoci
Original Paper 20 August 2018 Pages: 97 - 127
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
Giorgio Consigli
Asmerilda Hitaj
Elisa Mastrogiacomo
Original Paper 13 August 2018 Pages: 129 - 154
Identifying systemically important financial institutions: a network approach
Pablo Rovira Kaltwasser
Alessandro Spelta
Original Paper 22 June 2018 Pages: 155 - 185
Tempered stable process, first passage time, and path-dependent option pricing
Young Shin Kim
Original Paper 26 June 2018 Pages: 187 - 215
Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models
Ludovic Goudenege
Andrea Molent
Antonino Zanette
Original Paper 20 March 2018 Pages: 217 - 248
European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions
Martina Nardon
Paolo Pianca
Original Paper 26 June 2018 Pages: 249 - 274
Calibration of one-factor and two-factor Hull–White models using swaptions
Vincenzo Russo
Gabriele Torri
Original Paper 19 June 2018 Pages: 275 - 295
Simulation and evaluation of the distribution of interest rate risk
Johan Hagenbjörk
Jörgen Blomvall
Original Paper Open access 05 June 2018 Pages: 297 - 327
Big data analytics: an aid to detection of non-technical losses in power utilities
Giovanni Micheli
Emiliano Soda
Alessandro Bertani
Original Paper 22 June 2018 Pages: 329 - 343
On the construction of hourly price forward curves for electricity prices
Rüdiger Kiesel
Florentina Paraschiv
Audun Sætherø
Original Paper 28 February 2018 Pages: 345 - 369

Volume 16, Issue 1-2

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