Optimisation, Econometric and Financial Analysis by Erricos KontoghiorghesOptimisation, Econometric and Financial Analysis by Erricos Kontoghiorghes

Optimisation, Econometric and Financial Analysis

byErricos KontoghiorghesEditorCristian Gatu

Paperback | November 22, 2010

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This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modeling, emphasizing computational optimisation methods and techniques. The first part addresses optimisation problems and decision modeling, plus applications of supply chain and worst-case modeling and advances in methodological aspects of optimisation techniques. The second part covers optimisation heuristics, filtering, signal extraction and time series models. The final part discusses optimisation in portfolio selection and real option modeling.
Title:Optimisation, Econometric and Financial AnalysisFormat:PaperbackDimensions:278 pages, 23.5 × 15.5 × 0.01 inPublished:November 22, 2010Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3642071716

ISBN - 13:9783642071713


Table of Contents

Optimisation Models and Methods: A Supply Chain Network Perspective for Electric Power Generation, Supply, Transmission, and Consumption.- Worst-Case Modelling for Management Decisions under Incomplete Information, with Application to Electricity Spot Markets.- An Approximate Winner Determination Algorithm for Hybrid Procurement Mechanisms in Logistics.- Proximal-ACCPM: A Versatile Oracle Based Optimization Method.- A Survey of Different Integer Programming Formulations of the Travelling Salesman Problem.- Econometric Modelling and Prediction: The Threshold Accepting Optimization Algorithm in Economics and Statistics.- The Autocorrelation Functions in SETARMA Models.- Trend Estimation and De-Trending.- Non-Dyadic Wavelet Analysis.- Measuring  Core Inflation by Multivariate Structural Time Series Models.- Financial Modelling: Random Portfolios for Performance Measurement.- Real Options with Random Controls, Rare Events, and Risk-to-Ruin.