COMISEF Working Papers Series

 WPS-001  09/09/2008 Review of Heuristic Optimization Methods in Econometrics M. Gilli and P. Winker
 WPS-002  09/09/2008 Determination of sequential best replies in n-player games by Genetic Algorithms M. Protopapas
 WPS-003  03/09/2008 Meta-heuristic Methods for Outliers Detection in Multivariate Time Series D. Cucina, A. di Salvatore,
M. Protopapas
 WPS-004  09/09/2008 Coevolutionary Genetic Algorithms for Establishing Nash Equilibrium in Symmetric Cournot Games M. Protopapas, F. Battaglia,
E. Kosmatopoulos
 WPS-005  08/10/2008 Optimization Heuristics for Determining Internal Rating Grading Scales M. Lyra, J. Paha,
S. Paterlini, P. Winker
 WPS-006  08/10/2008 Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models P. Winker, M. Lyra,
C. Sharpe
 WPS-007 09/02/2009 Heuristic Optimisation in Financial Modelling M. Gilli and E. Schumann
 WPS-008 15/02/2009

Implementing Binomial Trees  (Download code here)

M. Gilli and E. Schumann
 WPS-009 20/02/2009 Time-varying Multi-regime Models Fitting by Genetic Algorithms F. Battaglia and
M. Protopapas
 WPS-010 15/06/2009 Optimal enough? M. Gilli and E. Schumann
 WPS-011 13/07/2009 Robust regression with optimisation heuristics M. Gilli and E. Schumann
 WPS-012 26/08/2009 Robust Optimization of Currency Portfolios R. J. Fonseca, S. Zymler,
W. Wiesemann, B. Rustem
 WPS-013 22/09/2009 Optimized U-type Designs on Flexible Regions D. K. J. Lin, C. Sharpe,
P. Winker
 WPS-014 13/10/2009 Validating Structural Credit Portfolio Models M. Kalkbrener and
A. Onwunta
 WPS-015 03/11/2009 Robust Portfolio Optimization: A Conic Programming Approach K. Ye, P. Parpas, B.Rustem
 WPS-016 03/11/2009 Bounding Option Prices Using SDP With Change Of Numeraire K. Ye, B. Rustem, P. Parpas
 WPS-017 04/11/2009 Worst-Case Value-at-Risk of Non-Linear Portfolios S. Zymler, D. Kuhn,
B. Rustem
 WPS-018 04/11/2009 Robust Portfolio Optimization with Derivative Insurance Guarantees S. Zymler, B. Rustem,
D. Kuhn
 WPS-019 06/11/2009 An Interior-Point algorithm for Nonlinear Minimax Problems E. Obasanjo,
E. Tzallas-Regas, B. Rustem
 WPS-020 06/11/2009 Robust Resource Allocations in Temporal Networks W. Wiesemann, D. Kuhn,
B. Rustem
 WPS-021 10/11/2009 Portfolio Decisions with Higher Order Moments P. M. Kleniati and B. Rustem
 WPS-022 10/11/2009 Decomposition-Based Method for Sparse Semidefinite Relaxations of Polynomial Optimization Problems P. M. Kleniati, P. Parpas,
B. Rustem
 WPS-023 10/11/2009 Partitioning Procedure for Polynomial Optimization: Application to Portfolio Decisions with Higher Order Moments P. M. Kleniati, P. Parpas,
B. Rustem
 WPS-024 07/12/2009 Bootstrap Confidence Bands for Forecast Paths
A. Staszewska-Bystrova
 WPS-025 27/01/2010 The Response of Retail Interest Rates to Factor Forecasts of Money Market Rates in Major European Economies A. Banerjee, V. Bystrov,
P. Mizen
 WPS-026 28/01/2010 Multi-regime models for nonlinear nonstationary time series
F. Battaglia and
M. Protopapas
 WPS-027 04/02/2010 Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance I. Savin and
P. Winker
 WPS-028 08/02/2010 Fuzzy clustering of univariate and multivariate time series by genetic multiobjective optimization S. Bandyopadhyay,
R. Baragona, U. Maulik
 WPS-029 09/02/2010 Robust International Portfolio Management R. J. Fonseca,
W. Wiesemann, B. Rustem
 WPS-030 08/03/2010 Calibrating Option Pricing Models with Heuristics (Download code here) M. Gilli and E. Schumann
 WPS-031 30/03/2010 Calibrating the Nelson–Siegel–Svensson model (Download code here) M. Gilli, Stefan Große, E. Schumann
 WPS-032 16/04/2010 Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application V. Blüschke-Nikolaeva,
D. Blüschke, R. Neck
 WPS-033 21/04/2010 Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks S. Markose, S. Giansante,
M. Gatkowski,
A. R. Shaghaghi
 WPS-034 05/05/2010 Robust Markov Decision Processes W. Wiesemann, D. Kuhn, 
B. Rustem
 WPS-035 17/05/2010 Index Mutual Fund Replication J. Zhang and D. Maringer
 WPS-036 17/05/2010 Asset Allocation under Hierarchical Clustering J. Zhang and D. Maringer
Pair-Copula Selection with Downside Risk Minimization J. Zhang and D. Maringer
Exact Maximum Likelihood Estimation for Copula Models J. Zhang and W. L. Ng
Threshold Accepting for Credit Risk Assessment and Validation M. Lyra, A. Onwunta,
P. Winker
Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules P. Rocha and D. Kuhn
Robust Portfolio Optimization with a Hybrid Heuristic Algorithm
B. Fastrich and P. Winker
A comparative study of the Lasso-type and heuristic model selection methods
I. Savin
Generalized Decision Rule Approximations for Stochastic Programming via Liftings
W. Wiesemann, D. Kuhn
A note on ‘good starting values’ in numerical optimisation (Download code here) M. Gilli and E. Schumann
Heuristic Strategies in Finance – An Overview
M. Lyra
Heuristic model selection for leading indicators in Russia and Germany I. Savin and P. Winker