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ORCIDAnnals of Operations Research, Volume 282
Volume 282, Numbers 1-2, November 2019
- Ioannis Kyriakou, Athanasios A. Pantelous, Georgios Sermpinis
, Stavros A. Zenios:
Preface: application of operations research to financial markets. 1-2 - Panagiotis Andrikopoulos, Nick Webber:
Understanding time-inconsistent heterogeneous preferences in economics and finance: a practice theory approach. 3-26 - Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega:
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. 27-57 - Giorgia Callegaro, Lucio Fiorin, Martino Grasselli:
Quantization meets Fourier: a new technology for pricing options. 59-86 - Filipa Da Silva Fernandes, Charalampos Stasinakis, Zivile Zekaite:
Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery. 87-118 - Christian-Oliver Ewald, Aihua Zhang, Zhe Zong:
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter. 119-130 - Maryam Hasannasab, Dimitris Margaritis, Christos Staikouras:
The financial crisis and the shadow price of bank capital. 131-154 - Tom Erik Sønsteng Henriksen, Alois Pichler, Sjur Westgaard, Stein Frydenberg:
Can commodities dominate stock and bond portfolios? 155-177 - Konstantinos Konstantaras, Vasilios Sogiakas:
Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs. 179-216 - Frank McGroarty, Ash Booth, Enrico H. Gerding, Venkata L. Raju Chinthalapati:
High frequency trading strategies, market fragility and price spikes: an agent based model perspective. 217-244 - Peter Nystrup, Stephen P. Boyd, Erik Lindström, Henrik Madsen:
Multi-period portfolio selection with drawdown control. 245-271 - Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano:
Hilbert transform, spectral filters and option pricing. 273-298 - Marcelo Brutti Righi:
A composition between risk and deviation measures. 299-313 - Anatoly B. Schmidt:
Managing portfolio diversity within the mean variance theory. 315-329 - Han Lin Shang, Yang Yang, Fearghal Kearney:
Intraday forecasts of a volatility index: functional time series methods with dynamic updating. 331-354 - Zhuowei Sun, Philip A. Hamill, Youwei Li, Y. C. Yang, Samuel A. Vigne:
Did long-memory of liquidity signal the European sovereign debt crisis? 355-377 - Davi Michel Valladão, Thuener Silva, Marcus Poggi:
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns. 379-405 - Christoph Wegener, Tobias Basse, Philipp Sibbertsen, Duc Khuong Nguyen:
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany. 407-426
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