Details about Manfred Gilli

Access statistics for papers by Manfred Gilli.

Last updated 2019-01-05. Update your information in the RePEc Author Service.

Short-id: pgi21

Working Papers

2017

1. Risk-Reward Ratio Optimisation (Revisited)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2010

2. A note on ‘good starting values’ in numerical optimisation
   Working Papers, COMISEF View citations (2)
3. Calibrating Option Pricing Models with Heuristics
   Working Papers, COMISEF View citations (11)
4. Calibrating the Nelson–Siegel–Svensson model
   Working Papers, COMISEF View citations (24)
5. Replicating Hedge Fund Indices with Optimization Heuristics
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2009

6. An Empirical Analysis of Alternative Portfolio Selection Criteria
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (5)
7. Heuristic Optimisation in Financial Modelling
   Working Papers, COMISEF View citations (7)
   See also Journal Article Heuristic optimisation in financial modelling, Annals of Operations Research, Springer (2012) View citations (19) (2012)
8. Implementing Binomial Trees
   Working Papers, COMISEF View citations (1)
9. Optimal enough?
   Working Papers, COMISEF View citations (9)
10. Robust regression with optimisation heuristics
    Working Papers, COMISEF View citations (2)

2008

11. A review of heuristic optimization methods in econometrics
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (18)
    Also in Working Papers, COMISEF (2008) View citations (17)
12. Constructing Long/Short Portfolios with the Omega ratio
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (12)
13. Distributed Optimisation of a Portfolio's Omega
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (8)

2007

14. An Objective Function for Simulation Based Inference on Exchange Rate Data
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (92)
    Also in Computing in Economics and Finance 2006, Society for Computational Economics (2006)
    See also Journal Article An objective function for simulation based inference on exchange rate data, Journal of Economic Interaction and Coordination, Springer (2007) View citations (92) (2007)

2006

15. A Data-Driven Optimization Heuristic for Downside Risk Minimization
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (36)
    Also in Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (39)
16. Using Economic and Financial Information for Stock Selection
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    See also Journal Article Using economic and financial information for stock selection, Computational Management Science, Springer (2008) View citations (4) (2008)

2005

17. Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches
    Computing in Economics and Finance 2005, Society for Computational Economics

2003

18. Issues in Evaluating Multifactor Options in a PDE Framework
    Computing in Economics and Finance 2003, Society for Computational Economics

2002

19. A Heuristic Technique for Model Selection Problems
    Computing in Economics and Finance 2002, Society for Computational Economics
20. Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2001) View citations (33)
    Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (35)
    Working Papers, Manitoba - Department of Economics (2001) View citations (36)
21. Pricing and hedging options in incomplete markets
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

22. Threshold Accepting for Index Tracking
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (2)

2000

23. A Heuristic Approach to Portfolio Optimization
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (1)
24. Extreme Value Theory for Tail-Related Risk Measures
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (10)
25. HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (2)

1999

26. Numerical Methods in Multivariate Option Pricing
    Computing in Economics and Finance 1999, Society for Computational Economics

Undated

27. An Application of Nonstationary Iterative Methods for Solving a Multi-Country Model with Rational Expectations
    Computing in Economics and Finance 1996, Society for Computational Economics View citations (1)
28. Practical Results on Parallel Methods for Solving Forward-Looking Models
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2013

1. Climate Change Impacts on Hydropower Management
   Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), 2013, 27, (15), 5143-5156 View citations (20)

2012

2. Heuristic optimisation in financial modelling
   Annals of Operations Research, 2012, 193, (1), 129-158 View citations (19)
   See also Working Paper Heuristic Optimisation in Financial Modelling, Working Papers (2009) View citations (7) (2009)

2010

3. Optimization in financial engineering - an essay on 'good' solutions and misplaced exactitude
   Journal of Financial Transformation, 2010, 28, 117-122 View citations (2)

2008

4. An efficient branch-and-bound strategy for subset vector autoregressive model selection
   Journal of Economic Dynamics and Control, 2008, 32, (6), 1949-1963 View citations (8)
5. Using economic and financial information for stock selection
   Computational Management Science, 2008, 5, (4), 317-335 View citations (4)
   See also Working Paper Using Economic and Financial Information for Stock Selection, Swiss Finance Institute Research Paper Series (2006) View citations (1) (2006)

2007

6. 2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems
   Computational Statistics & Data Analysis, 2007, 52, (1), 2-3 View citations (5)
7. An objective function for simulation based inference on exchange rate data
   Journal of Economic Interaction and Coordination, 2007, 2, (2), 125-145 View citations (92)
   See also Working Paper An Objective Function for Simulation Based Inference on Exchange Rate Data, Swiss Finance Institute Research Paper Series (2007) View citations (92) (2007)

2006

8. An Application of Extreme Value Theory for Measuring Financial Risk
   Computational Economics, 2006, 27, (2), 207-228 View citations (88)

2004

9. Applications of optimization heuristics to estimation and modelling problems
   Computational Statistics & Data Analysis, 2004, 47, (2), 211-223 View citations (34)

2003

10. A global optimization heuristic for estimating agent based models
    Computational Statistics & Data Analysis, 2003, 42, (3), 299-312 View citations (192)

2002

11. Solving finite difference schemes arising in trivariate option pricing
    Journal of Economic Dynamics and Control, 2002, 26, (9-10), 1499-1515 View citations (2)

2000

12. Parallel Krylov Methods for Econometric Model Simulation
    Computational Economics, 2000, 16, (1/2), 173-186 View citations (3)

1999

13. Modelling and forecasting the social contributions to the Swiss Old Age and Survivor Insurance scheme
    Swiss Journal of Economics and Statistics (SJES), 1999, 135, (III), 349-368 View citations (3)
14. Using Catastrophe-Linked Securities to Diversity Insurance Risk: A Financial Analysis of Cat Bonds
    Journal of Insurance Issues, 1999, 22, (2), 125-146 View citations (16)

1998

15. Krylov methods for solving models with forward-looking variables
    Journal of Economic Dynamics and Control, 1998, 22, (8-9), 1275-1289 View citations (11)

1997

16. Sparse direct methods for model simulation
    Journal of Economic Dynamics and Control, 1997, 21, (6), 1093-1111 View citations (8)

1996

17. Matchings, covers, and Jacobian matrices
    Journal of Economic Dynamics and Control, 1996, 20, (9-10), 1541-1556

1992

18. Causal Ordering and Beyond
    International Economic Review, 1992, 33, (4), 957-71 View citations (7)
19. Equation Reordering for Iterative Processes--A Comment
    Computer Science in Economics & Management, 1992, 5, (2), 147-53 View citations (3)

1991

20. Qualitative decomposition of the eigenvalue problem in a dynamic system
    Journal of Economic Dynamics and Control, 1991, 15, (3), 539-548 View citations (1)

1990

21. How to Strip a Model to Its Essential Elements
    Computer Science in Economics & Management, 1990, 3, (2), 199-214
22. On the Number of Nonzero Eigenvalues of a Dynamic Linear Econometric Model: A Comment
    Empirical Economics, 1990, 15, (1), 99-104

1983

23. Pour une approche structurale en économie
    Revue Économique, 1983, 34, (2), 277-304

1978

24. A Program for Causal and Qualitative Analysis of Economic
    Econometrica, 1978, 46, (2), 477-78 View citations (2)

Books

2011

1. Numerical Methods and Optimization in Finance
   Elsevier Monographs, Elsevier View citations (39)