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Abstracts

This is an archive of abstracts accepted to this conference. For more listing and sorting options, see the active list.

Marida Bertocchi Simulation of Bond Portfolio Management under a Sensitivity Analysis Framework
Maria Giuseppina Bruno Quasi-Montecarlo Methods for Evaluating Asian Options
Enrico Capobianco Statistical analysis of wavelets pre-processed financial time series
Andrea Consiglio Financial Innovation and the Computer-Aided Design of Financial Products
Michael A.H. Dempster Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming
Jitka Dupacova Portfolio Optimization via Stochastic Programming:Methods of Output Analysis
Alexei A. Gaivoronski Modeling value at risk through combination of simulation and optimization
Roy Kouwenberg Hedging Options under Transaction Costs and Stochastic Volatility
Leonard C. MacLean Growth versus Security Tradeoffs in Dynamic Investment Analysis
Elena A. Medova Incorporating spot market price fluctuations for oil products into logistics modelling
Hans Moritsch Parallel Implementation of a Pricing Kernel for Interest Rate Dependent Products
Carlo Nardone Parallel Implementation of a Path Integral Approach to Derivative Security Pricing
Richard Olsen Real-Time Trading Models and Statistical Properties of Foreign Exchange Rates
Georg Ch. Pflug Scenario processes: estimation and calibration
Marina Resta Multi Voronoi Nets System for Market Information Processing
Gordon Sick Real Options for Managing Risk: Using Simulation to Characterize Gain in Value
Artur Swietanowski Dynamic Asset Allocation under Uncertainty for Pension Fund Management
Chefi Triki Shared-memory implementation of the path-following algorithm to solve stochastic linear programs with robustness constraints
Hercules Vladimirou Assessment of Stochastic Programming Models for Managing International Bond Portfolios
Gaetano Zanghirati PALMA: an HPCN-enabled stochastic system for dynamic ALM
Stavros A. Zenios Integrated Simulation and Optimization Models for Tracking International Fixed Income Indices

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