Optimisation, Econometric and Financial Analysis

1. Front Matter

   Pages I-X

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2. Optimisation Models and Methods

   1. Front Matter

      Pages 1-1

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   2. A Supply Chain Network Perspective for Electric Power Generation, Supply, Transmission, and Consumption

      • Anna Nagurney, Dmytro Matsypura

      Pages 3-27

   3. Worst-Case Modelling for Management Decisions under Incomplete Information, with Application to Electricity Spot Markets

      • Mercedes Esteban-Bravo, Berc Rustem

      Pages 29-50

   4. An Approximate Winner Determination Algorithm for Hybrid Procurement Mechanisms Logistics

      • Chetan Yadati, Carlos A.S. Oliveira, Panos M. Pardalos

      Pages 51-66

   5. Proximal-ACCPM: A Versatile Oracle Based Optimisation Method

      • Frédéric Babonneau, Cesar Beltran, Alain Haurie, Claude Tadonki, Jean-Philippe Vial

      Pages 67-89

   6. A Survey of Different Integer Programming Formulations of the Travelling Salesman Problem

      • A.J. Orman, H.P. Williams

      Pages 91-104

3. Econometric Modelling and Prediction

   1. Front Matter

      Pages 105-105

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   2. The Threshold Accepting Optimisation Algorithm in Economics and Statistics

      • Peter Winker, Dietmar Maringer

      Pages 107-125

   3. The Autocorrelation Functions in SETARMA Models

      • Alessandra Amendola, Marcella Niglio, Cosimo Vitale

      Pages 127-141

   4. Trend Estimation and De-Trending

      • Stephen Pollock

      Pages 143-166

   5. Non-Dyadic Wavelet Analysis

      • Stephen Pollock, Iolanda Lo Cascio

      Pages 167-203

   6. Measuring Core Inflation by Multivariate Structural Time Series Models

      • Tommaso Proietti

      Pages 205-223

4. Financial Modelling

   1. Front Matter

      Pages 225-225

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   2. Random Portfolios for Performance Measurement

      • Patrick Burns

      Pages 227-249

   3. Real Options with Random Controls, Rare Events, and Risk-to-Ruin

      • Nicos Koussis, Spiros H. Martzoukos, Lenos Trigeorgis

      Pages 251-271

5. Back Matter

   Pages 273-277

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Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. The chapters in this part cover the application of threshold accepting in econometrics, the structure of threshold autoregressive moving average models, wavelet analysis and signal extraction techniques in time series. The third and final part of the book is about the use of optimisation in portfolio selection and real option modelling.

• Decision Modelling
• Econometrics
• Financial Modeling
• Financial Modelling
• Heuristics
• Optimisation
• Optimization algorithm
• Portfolio Selection
• Signal Extraction
• algorithms
• calculus
• modeling
• optimization
• programming
• statistics
• quantitative finance

• Department of Public and Business Administration, University of Cyprus, 75 Kallipoleos St, Cyprus

  Erricos John Kontoghiorghes

• Institut d’ Informatique, Université de Neuchatel, Rue Emile-Argand 11, CP2, Switzerland

  Cristian Gatu

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