Volume 260, Issue 1-2

Search all Annals of Operations Research articles

January 2018

Special issue: Advances of OR in Commodities and Financial Modelling. Guest editors: A. Sevtap Selçuk-Kestel, Yeliz Yolcu-Okur, and Gerhard-Wilhelm Weber

24 articles in this issue

Preface: Advances of OR in commodities and financial modelling
A. Sevtap Selçuk-Kestel
Yeliz Yolcu-Okur
Gerhard-Wilhelm Weber
S.I.: Advances of OR in Commodities and Financial Modelling 21 November 2017 Pages: 1 - 2
Object selection in credit scoring using covariance matrix of parameters estimations
Alexander A. Aduenko
Anastasia P. Motrenko
Vadim V. Strijov
S.I.: Advances of OR in Commodities and Financial Modelling 09 February 2017 Pages: 3 - 21
Robust term structure estimation in developed and emerging markets
Emrah Ahi
Vedat Akgiray
Emrah Sener
S.I.: Advances of OR in Commodities and Financial Modelling 08 August 2016 Pages: 23 - 49
Temporal clustering of time series via threshold autoregressive models: application to commodity prices
Sipan Aslan
Ceylan Yozgatligil
Cem Iyigun
S.I.: Advances of OR in Commodities and Financial Modelling 05 October 2017 Pages: 51 - 77
On the methods of pricing American options: case study
Burcu Aydoğan
Ümit Aksoy
Ömür Uğur
S.I.: Advances of OR in Commodities and Financial Modelling 12 July 2016 Pages: 79 - 94
Contingent claim pricing through a continuous time variational bargaining scheme
N. Azevedo
D. Pinheiro
A. N. Yannacopoulos
S.I.: Advances of OR in Commodities and Financial Modelling 24 December 2015 Pages: 95 - 112
Efficient simulations for a Bernoulli mixture model of portfolio credit risk
İsmail Başoğlu
Wolfgang Hörmann
Halis Sak
S.I.: Advances of OR in Commodities and Financial Modelling 03 June 2016 Pages: 113 - 128
Do price limits help control stock price volatility?
Seza Danışoğlu
Z. Nuray Güner
S.I.: Advances of OR in Commodities and Financial Modelling 01 October 2016 Pages: 129 - 157
Interaction of fiscal and monetary policy in a monetary union under the zero lower bound constraint
Stefanie Flotho
S.I.: Advances of OR in Commodities and Financial Modelling 19 May 2017 Pages: 159 - 196
Multiresolution analysis of S&P500 time series
Deniz Kenan Kılıç
Ömür Uğur
S.I.: Advances of OR in Commodities and Financial Modelling 11 May 2016 Pages: 197 - 216
A game-theoretical and cryptographical approach to crypto-cloud computing and its economical and financial aspects
Barış Bülent Kırlar
Serap Ergün
Gerhard-Wilhelm Weber
S.I.: Advances of OR in Commodities and Financial Modelling 16 February 2016 Pages: 217 - 231
Robust auction design under multiple priors by linear and integer programming
Çağıl Koçyiğit
Halil I. Bayrak
Mustafa Ç. Pınar
S.I.: Advances of OR in Commodities and Financial Modelling 17 February 2017 Pages: 233 - 253
Individual optimal pension allocation under stochastic dominance constraints
Miloš Kopa
Vittorio Moriggia
Sebastiano Vitali
S.I.: Advances of OR in Commodities and Financial Modelling 19 December 2016 Pages: 255 - 291
Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
Efsun Kürüm
Gerhard-Wilhelm Weber
Cem Iyigun
S.I.: Advances of OR in Commodities and Financial Modelling 28 April 2017 Pages: 293 - 320
The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming
Viktor Manahov
S.I.: Advances of OR in Commodities and Financial Modelling 25 August 2016 Pages: 321 - 352
Option pricing in an exponential MixedTS Lévy process
Lorenzo Mercuri
Edit Rroji
S.I.: Advances of OR in Commodities and Financial Modelling 16 April 2016 Pages: 353 - 374
Risk parity for Mixed Tempered Stable distributed sources of risk
Lorenzo Mercuri
Edit Rroji
S.I.: Advances of OR in Commodities and Financial Modelling 20 December 2016 Pages: 375 - 393
Portfolio selection strategy for fixed income markets with immunization on average
Sergio Ortobelli
Sebastiano Vitali
Tomáš Tichý
S.I.: Advances of OR in Commodities and Financial Modelling 08 June 2016 Pages: 395 - 415
Numerical computation of convex risk measures
G. I. Papayiannis
A. N. Yannacopoulos
S.I.: Advances of OR in Commodities and Financial Modelling 13 August 2016 Pages: 417 - 435
Analysis of inventory control model with shortage under time-dependent demand and time-varying holding cost including stochastic deterioration
Magfura Pervin
Sankar Kumar Roy
Gerhard-Wilhelm Weber
S.I.: Advances of OR in Commodities and Financial Modelling 08 November 2016 Pages: 437 - 460
Optimal harvesting for a logistic growth model with predation and a constant elasticity of variance
S. Pinheiro
S.I.: Advances of OR in Commodities and Financial Modelling 10 June 2016 Pages: 461 - 480
Optimal Pricing of competing retailers under uncertain demand-a two layer supply chain model
Arpita Roy
Shib Sankar Sana
Kripasindhu Chaudhuri
S.I.: Advances of OR in Commodities and Financial Modelling 09 September 2015 Pages: 481 - 500
Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
Danjue Shang
Victor Kuzmenko
Stan Uryasev
S.I.: Advances of OR in Commodities and Financial Modelling 23 November 2016 Pages: 501 - 514
Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
Busra Zeynep Temocin
Ralf Korn
A. Sevtap Selcuk-Kestel
S.I.: Advances of OR in Commodities and Financial Modelling 23 September 2017 Pages: 515 - 544

Volume 260, Issue 1-2

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