Increasing performance pressures on fixed-income managers have led to a search for new
and creative ways to add to portfolio returns. The largest pension plan sponsors, insurance …

The management of credit risky assets requires simulation models that integrate the
disparate sources of credit and market risk, and suitable optimization models for scenario …

The following sections are included: Learning Objectives Introduction A Taxonomy of
Transaction Costs Liquidity and Transaction Costs Market Impact Measurements and …

The paper describes use of trade‐off information to create effective stock portfolio
characterized by desired values of selected stock attributes. Basic notions behind such …

Die nationalen und intemationalen Kapitalmarkte sind in den letzten zwei Jahr zehnten von
einer deutlich erhohten Zinsvolatilitiit betroffen. Ais Reaktion auf die damit verbundene …

This paper reviews the application of OR to financial markets. After considering reasons for
the attractiveness of general finance problems to OR researchers, the main types of financial …

24.1 Basics of market indices An index is a single statistic that summarizes the relative
changes of a set of variables, such as stock or bond prices. An index can be broad in scope …

The paper describes the use of trade-off information to create effective stock portfolio
characterized by the desired values of selected stock attributes. The basic notions behind …

First, we proposed a scenario model which minimizes a regret function, and a 2-step
approach to solve the scenario model. The 2-step approach generates a policy which is …

This thesis consists of three essays. The first essay experimentally investigates the optimal
use of Richardson extrapolation in order to compute option prices, balancing computational …