Volume 282, Issue 1-2

Search all Annals of Operations Research articles

November 2019

Application of Operations Research to Financial Markets. Editors: Ioannis Kyriakou, Athanasios A. Pantelous, Georgios Sermpinis and Stavros A. Zenios

18 articles in this issue

Preface: application of operations research to financial markets
Ioannis Kyriakou
Athanasios A. Pantelous
Stavros A. Zenios
EditorialNotes 01 October 2019 Pages: 1 - 2
Understanding time-inconsistent heterogeneous preferences in economics and finance: a practice theory approach
Panagiotis Andrikopoulos
Nick Webber
S.I.: Application of O. R. to Financial Markets 31 March 2018 Pages: 3 - 26
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Alexandru Badescu
Zhenyu Cui
Juan-Pablo Ortega
S.I.: Application of O. R. to Financial Markets 23 June 2018 Pages: 27 - 57
Quantization meets Fourier: a new technology for pricing options
Giorgia Callegaro
Lucio Fiorin
Martino Grasselli
S.I.: Application of O. R. to Financial Markets 06 October 2018 Pages: 59 - 86
Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery
Filipa Da Silva Fernandes
Charalampos Stasinakis
Zivile Zekaite
S.I.: Application of O. R. to Financial Markets 15 March 2018 Pages: 87 - 118
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter
Christian-Oliver Ewald
Aihua Zhang
Zhe Zong
S.I.: Application of O. R. to Financial Markets Open access 31 January 2018 Pages: 119 - 130
The financial crisis and the shadow price of bank capital
Maryam Hasannasab
Dimitris Margaritis
Christos Staikouras
S.I.: Application of O. R. to Financial Markets 11 May 2018 Pages: 131 - 154
Can commodities dominate stock and bond portfolios?
Tom Erik Sønsteng Henriksen
Alois Pichler
Stein Frydenberg
S.I.: Application of O.R. to Financial Markets 04 August 2018 Pages: 155 - 177
Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs
Konstantinos Konstantaras
Vasilios Sogiakas
S.I.: Application of O. R. to Financial Markets Open access 12 May 2018 Pages: 179 - 216
High frequency trading strategies, market fragility and price spikes: an agent based model perspective
Frank McGroarty
Ash Booth
V. L. Raju Chinthalapati
S.I.: Application of O. R. to Financial Markets Open access 25 August 2018 Pages: 217 - 244
Multi-period portfolio selection with drawdown control
Peter Nystrup
Stephen Boyd
Henrik Madsen
S.I.: Application of O. R. to Financial Markets 20 June 2018 Pages: 245 - 271
Hilbert transform, spectral filters and option pricing
Carolyn E. Phelan
Daniele Marazzina
Guido Germano
S.I.: Application of O. R. to Financial Markets 14 May 2018 Pages: 273 - 298
A composition between risk and deviation measures
Marcelo Brutti Righi
S.I.: Application of O. R. to Financial Markets 31 May 2018 Pages: 299 - 313
Managing portfolio diversity within the mean variance theory
Anatoly B. Schmidt
S.I.: Application of O. R. to Financial Markets 22 May 2018 Pages: 315 - 329
Intraday forecasts of a volatility index: functional time series methods with dynamic updating
Han Lin Shang
Yang Yang
Fearghal Kearney
S.I.: Application of O. R. to Financial Markets 07 December 2018 Pages: 331 - 354
Did long-memory of liquidity signal the European sovereign debt crisis?
Z. Sun
P. A. Hamill
S. A. Vigne
S.I.:Application of O. R. to Financial Markets 07 April 2018 Pages: 355 - 377
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
Davi Valladão
Thuener Silva
Marcus Poggi
S.I.: Application of O.R. to Financial Markets 01 August 2018 Pages: 379 - 405
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
Christoph Wegener
Tobias Basse
Duc Khuong Nguyen
S.I.: Application of O. R. to Financial Markets 09 August 2019 Pages: 407 - 426

Volume 282, Issue 1-2

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