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ORCIDAnnals of Operations Research, Volume 260
Volume 260, Numbers 1-2, January 2018
- A. Sevtap Selcuk-Kestel
, Yeliz Yolcu-Okur, Gerhard-Wilhelm Weber:
Preface: Advances of OR in commodities and financial modelling. 1-2 - Alexander A. Aduenko, Anastasia Motrenko, Vadim V. Strijov:
Object selection in credit scoring using covariance matrix of parameters estimations. 3-21 - Emrah Ahi, Vedat Akgiray, Emrah Sener:
Robust term structure estimation in developed and emerging markets. 23-49 - Sipan Aslan, Ceylan Yozgatligil, Cem Iyigun:
Temporal clustering of time series via threshold autoregressive models: application to commodity prices. 51-77 - Burcu Aydogan, Ümit Aksoy, Ömür Ugur:
On the methods of pricing American options: case study. 79-94 - Nuno Azevedo, Diogo Pinheiro, Stylianos Z. Xanthopoulos, Athanasios N. Yannacopoulos:
Contingent claim pricing through a continuous time variational bargaining scheme. 95-112 - Ismail Basoglu, Wolfgang Hörmann, Halis Sak:
Efficient simulations for a Bernoulli mixture model of portfolio credit risk. 113-128 - Seza Danisoglu, Z. Nuray Güner:
Do price limits help control stock price volatility? 129-157 - Stefanie Flotho:
Interaction of fiscal and monetary policy in a monetary union under the zero lower bound constraint. 159-196 - Deniz Kenan Kiliç, Ömür Ugur:
Multiresolution analysis of S&P500 time series. 197-216 - Baris Bülent Kirlar, Serap Ergün, Sirma Zeynep Alparslan Gök, Gerhard-Wilhelm Weber:
A game-theoretical and cryptographical approach to crypto-cloud computing and its economical and financial aspects. 217-231 - Çagil Koçyigit, Halil I. Bayrak, Mustafa Ç. Pinar:
Robust auction design under multiple priors by linear and integer programming. 233-253 - Milos Kopa, Vittorio Moriggia, Sebastiano Vitali:
Individual optimal pension allocation under stochastic dominance constraints. 255-291 - Efsun Kürüm, Gerhard-Wilhelm Weber, Cem Iyigun:
Early warning on stock market bubbles via methods of optimization, clustering and inverse problems. 293-320 - Viktor Manahov:
The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming. 321-352 - Lorenzo Mercuri, Edit Rroji:
Option pricing in an exponential MixedTS Lévy process. 353-374 - Lorenzo Mercuri, Edit Rroji:
Risk parity for Mixed Tempered Stable distributed sources of risk. 375-393 - Sergio Ortobelli, Sebastiano Vitali, Marco Cassader, Tomás Tichý:
Portfolio selection strategy for fixed income markets with immunization on average. 395-415 - G. I. Papayiannis, Athanasios N. Yannacopoulos:
Numerical computation of convex risk measures. 417-435 - Magfura Pervin, Sankar Kumar Roy, Gerhard-Wilhelm Weber:
Analysis of inventory control model with shortage under time-dependent demand and time-varying holding cost including stochastic deterioration. 437-460 - Susana Pinheiro:
Optimal harvesting for a logistic growth model with predation and a constant elasticity of variance. 461-480 - Arpita Roy, Shib Sankar Sana, Kripasindhu Chaudhuri:
Optimal Pricing of competing retailers under uncertain demand-a two layer supply chain model. 481-500 - Danjue Shang, Victor Kuzmenko, Stan Uryasev:
Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk. 501-514 - Büsra Zeynep Temoçin, Ralf Korn, A. Sevtap Selcuk-Kestel:
Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. 515-544
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