Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance

Volumn , Issue , 2011, Pages

  Gilli M , Manfred ^a,b   Maringer D , Dietmar ^a,c   Schumann E , Enrico ^d  

^a UNIVERSITY OF GENEVA   (Switzerland)

^b SWISS FINANCE INSTITUTE   (Switzerland)

^c UNIVERSITY OF BASEL   (Switzerland)

^d VIP Value Investment Professionals AG   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85014227724     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/C2009-0-30569-3     Document Type: Book

References (321)

1. Handbook of Mathematical Functions 1965, Dover. M. Abramowitz, I.A. Stegun (Eds.).
2. Acker Daniella, Duck Nigel W. Reference-Day Risk and the Use of Monthly Returns Data. Journal of Accounting, Auditing and Finance 2007, 22(4):527-557.
3. Adams Douglas The Hitch Hiker's Guide to the Galaxy 1979, Pan Books.
4. Akaike Hirotugu A New Look at the Statistical Model Identification. IEEE Transactions on Automatic Control 1974, AC-19(6):716-723.
5. Albrecher Hansjörg, Mayer Philipp, Schoutens Wim, Tistaert Jurgen The Little Heston Trap. Wilmott Magazine 2007, 83-92.
6. Althöfer Ingo, Koschnick Klaus-Uwe On the Convergence of 'Threshold Accepting'. Applied Mathematics and Optimization 1991, 24(1):183-195.
7. Armstrong J. Scott Forecasting with Econometric Methods: Folklore Versus Fact. Journal of Business 1978, 51(4):549-564.
8. Artzner Philippe, Delbaen Freddy, Eber Jean-Marc, Heath David Coherent Measures of Risk. Mathematical Finance 1999, 9(3):203-228.
9. Bachelier Louis Théorie de la spéculation. Annales Scientifiques de l'École Normale Supérieure 1900, 3(17):21-86.
10. Bailey Ralph W. Polar Generation of Random Variates with the t-Distribution. Mathematics of Computation 1994, 62(206):779-781.
11. Bakshi Gurdip, Cao Charles, Chen Zhiwu Empirical Performance of Alternative Option Pricing Models. Journal of Finance 1997, 52(5):2003-2049.
12. Bakshi Gurdip, Madan Dilip B. Spanning and Derivative-Security Valuation. Journal of Financial Economics 2000, 55(2):205-238.
13. Bali Turan G., Demirtas K.Ozgur, Levy Haim Is There an Intertemporal Relation Between Downside Risk and Expected Returns?. Journal of Financial and Quantitative Analysis 2009, 44(4):883-909.
14. Bank for International Settlements (BIS). 2005. Zero-Coupon Yield Curves: Technical Documentation. BIS Papers 25 Bank for International Settlements.
15. Barr Richard S., Golden Bruce L., Kelly James P., Resende Mauricio G.C., Stewart William R. Designing and Reporting on Computational Experiments with Heuristic Methods. Journal of Heuristics 1995, 1(1):9-32.
16. Barrett Richard, Berry Michael, Chan Tony F., Demmel James, Donato June, Dongarra Jack, Eijkhout Victor, Pozo Roldan, Romine Charles, van der Vorst Henk Templates for the Solution of Linear Systems: Building Blocks for Iterative Methods 1994, SIAM, Philadelphia, PA.
17. Barsky Robert B., DeLong J. Bradford Why Does the Stock Market Fluctuate?. Quarterly Journal of Economics 1993, 108(2):291-312.
18. Bates David S Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options. Review of Financial Studies 1996, 9(1):69-107.
19. Bates David S. Empirical Option Pricing: A Retrospection. Journal of Econometrics 2003, 116(1-2):387-404.
20. Bates Douglas, Maechler Martin Matrix: Sparse and Dense Matrix Classes and Methods 2010, R package version 0.999375-42.
21. Bera Anil K., Higgins Matthew L., Sangkyu Lee Interaction between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach. Journal of Business and Economics Statistics 1992, 10(2):133-142.
22. Best Michael J., Grauer Robert R. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results. Review of Financial Studies 1991, 4(2):315-342.
23. Biglova Almira, Ortobelli Sergio, Rachev Svetlozar, Stoyanov Stoyan Different Approaches to Risk Estimation in Portfolio Theory. Journal of Portfolio Management 2004, 31(1):103-112.
24. Birattari, Mauro, Luis Paquete, Thomas Stützle, Klaus Varrentrapp. 2001. Classification of Metaheuristics and Design of Experiments for the Analysis of Components. Technical Report AIDA-2001-05 Intellektik, Technische Universität Darmstadt, Germany.
25. Björckå ke Numerical Methods for Least Squares Problems 1996, SIAM, Philadelphia, PA.
26. Black Fischer, Scholes Myron The Pricing of Options and Corporate Liabilities. Journal of Political Economy 1973, 81(3):637-654.
27. Black Fischer, Jones Robert Simplifying Portfolio Insurance. Journal of Portfolio Management 1987, 14(1):48-51.
28. Blume Marshall E. On the Assessment of Risk. Journal of Finance 1971, 26(1):1-10.
29. Board John L.G., Sutcliffe Charles M.S. Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence. Management Science 1994, 40(4):516-534.
30. Bolder David, Stréliski David Yield Curve Modelling at the Bank of Canada. Bank of Canada Technical Report 1999, 84.
31. Bollerslev Tim Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 1986, 31(3):307-327.
32. Box George Edward Pelham, Muller Mervin Edgar A Note on the Generation of Random Normal Deviates. Annals of Mathematical Statistics 1958, 29(2):610-611.
33. Boyd Stephen, Vandenberghe Lieven Convex Optimization 2004, Cambridge University Press.
34. Boyle Phelim P., Tan Ken Seng Quasi-Monte Carlo Methods. Proceedings AFIR Colloquium Cairns 1997, 1-23.
35. Brandimarte Paolo Numerical Methods in Finance and Economics-A Matlab-Based Introduction 2006, Wiley. 2nd ed.
36. Brandt Michael W. Portfolio Choice Problems. Handbook of Financial Econometrics 2009, Vol. 1:269-336. Elsevier, chapter 5.
37. Britten-Jones Mark The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights. Journal of Finance 1999, 54(2):655-671.
38. Broadie Mark Computing Efficient Frontiers Using Estimated Parameters. Annals of Operations Research 1993, 45(1):21-58.
39. Brooks Chris Introductory Econometrics for Finance 2008, Cambridge University Press. 2nd ed.
40. Brown Byron W., Hollander Myles Statistics: A Biomedical Introduction 1977, Wiley, New York.
41. Cairns Andrew J.G. Descriptive Bond-Yield and Forward-Rate Models for the British Government Securities' Market. British Actuarial Journal 1998, 4(2):265-321.
42. Campbell, Murray, Jr. A. Joseph Hoane, Feng-hsiung Hsu. 2001. Deep Blue. Technical report.
43. Carr Peter, Madan Dilip B. Option Valuation Using the Fast Fourier Transform. Journal of Computational Finance 1999, 2(4):61-73.
44. Chambers John M. Software for Data Analysis 2008, Springer.
45. Chan Louis K.C., Karceski Jason, Lakonishok Josef On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model. Review of Financial Studies 1999, 12(5):937-974.
46. Chan Louis K.C., Lakonishok Josef Robust Measurement of Beta Risk. Journal of Financial and Quantitative Analysis 1992, 27(2):265-282.
47. Chan Tony F., Golub Gene H., LeVeque Randall J. Algorithms for Computing the Sample Variance: Analysis and Recommendations. American Statistician 1983, 37(3):242-247.
48. Chekhlov Alexei, Uryasev Stanislav, Zabarankin Michael Drawdown Measure in Portfolio Optimization. International Journal of Theoretical and Applied Finance 2005, 8(1):13-58.
49. Cherubini Umberto, Luciano Elisa, Vecchiato Walter Copula Methods in Finance 2004, Wiley.
50. Chiarella Carl, Ziogas Andrew Evaluation of American Strangles. Journal of Economic Dynamics and Control 2005, 29(1-2):31-62.
51. Chopra Vijay K., Hensel Chris R., Turner Andrew L. Massaging Mean-Variance Inputs: Returns from Alternative Global Investment Strategies in the 1980s. Management Science 1993, 39(7):845-855.
52. Chourdakis Kyriakos Option Pricing Using the Fractional FFT. Journal of Computational Finance 2005, 8(2):1-18.
53. Christoffersen Peter F. Elements of Financial Risk Management 2003, Elsevier Science.
54. Cohen Kalman J., Pogue Jerry A. An Empirical Evaluation of Alternative Portfolio-Selection Models. Journal of Business 1967, 40(2):166-193.
55. Coles L. Stephen Computer Chess: The Drosophila of AI. AI Expert Magazine 1994.
56. Cont Rama Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues. Quantitative Finance 2001, 1:223-236.
57. Cont Rama, da Fonseca José Dynamics of Implied Volatility Surfaces. Quantitative Finance 2002, 2(2):45-60.
58. Cox John C., Ross, Stephen A., Rubinstein Mark Option Pricing: A Simplified Approach. Journal of Financial Economics 1979, 7(3):229-263.
59. Cuthbertson Keith, Nitzsche Dirk Quantitative Financial Economics 2005, Wiley. 2nd ed.
60. Dacorogna Michel M., Gençay Ramazan, Müller Ulrich A., Olsen Richard B., Pictet Olivier V. An Introduction to High-frequency Finance 2001, Academic Press.
61. Davis Philip J., Rabinowitz Philip Methods of Numerical Integration 2007, Dover. 2nd ed.
62. Dawes Robyn M. The Robust Beauty of Improper Linear Models in Decision Making. American Psychologist 1979, 34(7):571-582.
63. Dawes Robyn M. House of Cards-Psychology and Psychotherapy Built on Myth 1994, Free Press.
64. De Bondt Werner F.M., Thaler Richard Does the Stock Market Overreact?. Journal of Finance 1985, 40(3):793-805.
65. De Pooter Michiel Examining the Nelson-Siegel Class of Term Structure Models. Tinbergen Institute Discussion Paper 2007-043/4 2007.
66. Dembo Ron S. Scenario Optimization. Annals of Operations Research 1993, 30(1):63-80.
67. DeMiguel Victor, Garlappi Lorenzo, Uppal Raman Optimal versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?. Review of Financial Studies 2009, 22(5):1915-1953.
68. Dennis John E., Schnabel Robert B. Numerical Methods for Unconstrained Optimization and Nonlinear Equations 1983, Prentice-Hall, Englewood Cliffs, NJ, Series in Computational Mathematics.
69. Derman Emanuel, Kani Iraj The Volatility Smile and Its Implied Tree. Goldman Sachs Quantitative Strategies Research Notes 1994.
70. Detlefsen Kai, Härdle Wolfgang K. Calibration Risk for Exotic Options. Journal of Derivatives 2007, 14(4):47-63.
71. Devroye Luc Non-Uniform Random Variate Generation 1986, Springer.
72. Devroye Luc Random Variate Generation in One Line of Code. Proceedings of the 1996 Winter Simulation Conference 1996, J.M. Charnes, D.J. Morris, D.T. Brunner, J.J. Swain (Eds.).
73. di Tollo Giacomo, Maringer Dietmar Metaheuristics for the Index Tracking Problem. Metaheuristics in the Service Industry 2009, Springer. M.J. Geiger, W. Habenicht, M. Sevaux, K. Sörensen (Eds.).
74. Dickey David A., Fuller Wayne A. Distribution of Estimators for Time Series Regressions with a Unit Root. Journal of the American Statistical Association 1979, 74(366):427-431.
75. Diebold Francis X., Li Canlin Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics 2006, 130(2):337-364.
76. Dimitrov Valentin, Govindaraj Suresh Reference-Day Risk: Observations and Extensions. Journal of Accounting, Auditing and Finance 2007, 22(4):559-572.
77. Dimson Elroy, Marsh Paul, Staunton Mike Triumph of the Optimists: 101 Years of Global Investment Returns 2002, Princeton University Press.
78. Dorigo Marco, Di Caro Gianni, Gambardella Luca M. Ant Algorithms for Discrete Optimization. Artificial Life 1999, 5(2):137-172.
79. Dueck Gunter, Winker Peter New Concepts and Algorithms for Portfolio Choice. Applied Stochastic Models and Data Analysis 1992, 8(3):159-178.
80. Dueck Gunter, Scheuer Tobias Threshold Accepting. A General Purpose Optimization Algorithm Superior to Simulated Annealing. Journal of Computational Physics 1990, 90(1):161-175.
81. Duffie Darrell, Pan Jun, Singleton Kenneth Transform Analysis and Asset Pricing for Affine Jump-Diffusions. Econometrica 2000, 68(6):1343-1376.
82. Dulmage Andrew Lloyd, Mendelsohn Nathan Saul Two Algorithms for Bipartite Graphs. SIAM Journal 1963, 11:183-194.
83. Dupire Bruno Pricing with a Smile. Risk 1994, 7(1):18-20.
84. Eberhart Russell C., Kennedy James A New Optimizer Using Particle Swarm Theory. Proceedings of the Sixth International Symposium on Micromachine and Human Science 1995, 39-43. Nagoya, Japan.
85. Eddelbuettel Dirk, Nguyen Khanh RQuantLib: R interface to the QuantLib library 2010, R package version 0.3.4.
86. Elton Edwin J., Gruber Martin J. Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection. Journal of Finance 1973, 28(5):1203-1232.
87. Elton Edwin J., Gruber Martin J., Urich Thomas J. Are Betas Best?. Journal of Finance 1978, 33(5):1375-1384.
88. Embrechts Paul, McNeil Alexander J., Straumann Daniel Correlation: Pitfalls and Alternatives. Risk 1999, 12(5):69-71.
89. Embrechts Paul, Lindskog Filip, McNeil Alexander Modelling Dependence with Copulas and Applications to Risk Management. Handbook of Heavy Tailed Distributions in Finance 2003, 329-384. Elsevier, chapter 8. S. Rachev (Ed.).
90. Engle Robert F. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 1982, 50(4):987-1008.
91. Engle Robert F. New Frontiers for ARCH Models. Journal of Applied Econometrics 2002, 17:425-446.
92. Engle Robert F., Ng Victor K. Measuring and Testing the Impact of News on Volatility. Journal of Finance 1993, 48(5):1749-1778.
93. Fama Eugene F., French Kenneth R. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 1993, 33(1):3-56.
94. Fama Eugene F., French Kenneth R. The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives 2004, 18(3):25-46.
95. Fang Fang, Oosterlee Cornelis W. A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM Journal on Scientific Computing 2008, 31(2):826-848.
96. Fang Kai-tai, Tang Yu, Maringer Dietmar, Winker Peter Lower Bounds and Stochastic Optimization for Uniform Design with Three and Four Levels. Mathematics of Computation 2006, 75(254):859-878.
97. Farlow Stanley J. Partial Differential Equations for Scientists and Engineers 1982, Wiley, (Dover reprint).
98. Frankfurter George M., Phillips Herbert E., Seagle John P. Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances. Journal of Financial and Quantitative Analysis 1971, 6(5):1251-1262.
99. Frimannslund, Lennart, Trond Steihaug. 2004. "A New Generating Set Search Method for Unconstrained Optimisation." University of Bergen, Norway.
100. Fusai Gianluca, Roncoroni Andrea Implementing Models in Quantitative Finance: Methods and Cases 2008, Springer.
101. Gaivoronski Alexei A., Pflug Georg Value-at-Risk in Portfolio Optimization: Properties and Computational Approach. Journal of Risk 2005, 7(2):1-31.
102. Gander Walter, Gautschi Walter Adaptive Quadrature-Revisited. Bit 2000, 40(1):84-101.
103. Gatheral Jim The Volatility Surface 2006, Wiley.
104. Gelfand, Saul B., Sanjoy K. Mitter. 1985. Analysis of Simulated Annealing for Optimization. Technical Report LIDS-P-1494 MIT.
105. Geman Stuart, Geman Donald Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images. IEEE Transactions on Pattern Analysis and Machine Intelligence 1984, 6(6):721-741.
106. Genest Christian, Ghoudi Kilani, Rivest Louis-Paul A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions. Biometrika 1995, 82(3):543-552.
107. Gentle James E. Computational Statistics 2009, Statistics and Computing Springer.
108. Gentleman Robert, Ihaka Ross Lexical Scope and Statistical Computing. Journal of Computational and Graphical Statistics 2000, 9(3):491-508.
109. Genton Marc G., Ronchetti Elvezio Robust Prediction of Beta. Computational Methods in Financial Engineering-Essays in Honour of Manfred Gilli 2008, Springer. E.J. Kontoghiorghes, B. Rustem, P. Winker (Eds.).
110. Gigerenzer Gerd Fast and Frugal Heuristics: The Tools of Bounded Rationality. Blackwell Handbook of Judgment and Decision Making 2004, 62-88. Blackwell Publishing, chapter 4. D.J. Koehler, N. Harvey (Eds.).
111. Gigerenzer Gerd Why Heuristics Work. Perspectives on Psychological Science 2008, 3(1):20-29.
112. Gill Philip E., Murray Walter, Wright Margaret H. Practical Optimization 1986, Elsevier, Amsterdam.
113. Gilli Manfred Causal Ordering and Beyond. International Economic Review 1992, 33(4):957-971.
114. Gilli Manfred, Maringer Dietmar, Winker Peter Applications of Heuristics in Finance. Handbook on Information Technology in Finance 2008, Springer. D. Seese, C. Weinhardt, F. Schlottmann (Eds.).
115. Gilli Manfred, Schumann Enrico Calibrating the Heston Model with Differential Evolution. EvoApplications 2010, Part II 2010, 242-250. Springer, Number 6025 in "Lecture Notes in Computer Science". C. Di Chio, A. Brabazon, G. Di Caro, M. Ebner, M. Farooq (Eds.).
116. Gilli Manfred, Schumann Enrico Distributed Optimisation of a Portfolio's Omega. Parallel Computing 2010, 36(7):381-389.
117. Gilli Manfred, Schumann Enrico A Note on 'Good Starting Values' in Numerical Optimisation. COMISEF Working Paper Series No. 44 2010, Available from http://comisef.eu/?q=working_papers.
118. Gilli Manfred, Schumann Enrico Optimal Enough?. Journal of Heuristics forthcoming 2010, Available from http://dx.doi.org/10.1007/s10732-010-9138-y.
119. Gilli Manfred, Schumann Enrico Optimization in Financial Engineering-An Essay on 'Good' Solutions and Misplaced Exactitude. Journal of Financial Transformation 2010, 28:117-122.
120. Gilli Manfred, Schumann Enrico Portfolio Optimization with "Threshold Accepting": a Practical Guide. Optimizing Optimization: The Next Generation of Optimization Applications and Theory 2010, Elsevier. S.E. Satchell (Ed.).
121. Gilli Manfred, Schumann Enrico Robust Regression with Optimisation Heuristics. Natural Computing in Computational Finance 2010, Vol. 3. Springer.
122. Gilli Manfred, Schumann Enrico Calibrating Option Pricing Models with Heuristics. Natural Computing in Computational Finance 2011, Vol. 4. Springer, (forthcoming).
123. Gilli, Manfred, Enrico Schumann. forthcoming. "Risk-Reward Optimisation for Long-Run Investors: an Empirical Analysis." European Actuarial Journal. Available from http://www.actuaries.org/Munich2009/Programme_EN.cfm. http://www.actuaries.org/Munich2009/Programme_EN.cfm.
124. Gilli Manfred, Schumann Enrico, di Tollo Giacomo, Cabej Gerda Constructing Long/Short Portfolios with the Omega Ratio. Journal of Asset Management 2011, 12(2):94-108.
125. Gilli Manfred, Këllezi Evis The Threshold Accepting Heuristic for Index Tracking. Financial Engineering, E-Commerce and Supply Chain 2002, 1-18. Applied Optimization Series Kluwer Academic Publishers, Boston. P. Pardalos, V.K. Tsitsiringos (Eds.).
126. Gilli Manfred, Këllezi Evis, Hysi Hilda A Data-Driven Optimization Heuristic for Downside Risk Minimization. Journal of Risk 2006, 8(3):1-18.
127. Gilli Manfred, Këllezi Evis, Pauletto Giorgio Solving Finite Difference Schemes Arising in Trivariate Option Pricing. Journal of Economic Dynamics and Control 2002, 26(9-10):1499-1515.
128. Gilli Manfred, Garbely Myriam Matchings, Covers, and Jacobian Matrices. Journal of Economic Dynamics and Control 1996, 20(9-10):1541-1556.
129. Gilli Manfred, Winker Peter A Global Optimization Heuristic for Estimating Agent Based Models. Computational Statistics & Data Analysis 2003, 42(3):299-312.
130. Glasserman Paul Monte Carlo Methods in Financial Engineering 2004, Springer.
131. Glosten Lawrence R., Jagannathan Ravi, Runkle David E. On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance 1993, 48(5):1779-1801.
132. Glover Fred Future Paths for Integer Programming and Links to Artificial Intelligence. Computers and Operations Research 1986, 13(5):533-549.
133. Glover Fred, Laguna Manuel Tabu Search 1997, Kluwer.
134. Goldstein Daniel G., Gigerenzer Gerd Fast and Frugal Forecasting. International Journal of Forecasting 2009, 25(4):760-772.
135. Golub Gene H., Van Loan Charles F. Matrix Computations 1989, Johns Hopkins University Press.
136. Golub Gene H., Welsch John H. Calculation of Gauss Quadrature Rules. Mathematics of Computation 1969, 23(106):221-230.
137. Gordon Myron J. The Investment, Financing and Valuation of the Corporation 1962, Irwin, Homewood, Ill.
138. Goss Simon, Aron Serge, Deneubourg Jean Louis, Pasteels Jacques Marie Self-organized Shortcuts in the Argentine Ant. Naturwissenschaften 1989, 76(12):579-581.
139. Greene William H. Econometric Analysis 2008, Prentice Hall. 6th ed.
140. Grinold Richard C., Kahn Ronald N. Active Portfolio Management 2008, McGraw-Hill. 2nd ed.
141. Gurkaynak Refet S., Sack Brian, Wright Jonathan H. The U.S. Treasury Yield Curve: 1961 to the Present. Federal Reserve Board Finance and Economics Discussion Series 2006, 2006-28.
142. Gutjahr Walter J. A Graph-based Ant System and its Convergence. Future Generation Computer Systems 2000, 16(9):873-888.
143. Hale Nicholas, Trefethen Lloyd N. New Quadrature Formulas from Conformal Maps. SIAM Journal of Numerical Analysis 2008, 46(2):930-948.
144. Hamida Sana Ben, Cont Rama Recovering Volatility from Option Prices by Evolutionary Optimization. Journal of Computational Finance 2005, 8(4):1-2.
145. Hampel Frank R., Ronchetti Elvezio M., Rousseeuw Peter J., Stahel Werner A. Robust Statistics: The Approach Based on Influence Functions 1986, Wiley.
146. Hankin Robin K.S Recreational Mathematics with R: Introducing the 'magic' Package. R News 2005, 5(1):48-51.
147. Harrison Paul, Zhang Harold H. An Investigation of the Risk and Return Relation at Long Horizons. Review of Economics and Statistics 1999, 81(3):399-408.
148. Hastings W. Keith Monte Carlo Sampling Methods Using Markov Chains and Their Applications. Biometrika 1970, 57(1):97-109.
149. He Changhong, Kennedy J.Shannon, Coleman Thomas F., Forsyth Peter A., Li Yuying, Vetzal Kenneth R. Calibration and Hedging under Jump Diffusion. Review of Derivatives Research 2006, 9(1):1-35.
150. Heath Michael T. Scientific Computing: An Introductory Survey 2005, McGraw-Hill. 2nd ed.
151. Heston Steven L. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bonds and Currency Options. Review of Financial Studies 1993, 6(2):327-343.
152. Higham Desmond J. Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB. SIAM Review 2002, 44(4):661-677.
153. Higham Desmond J. An Introduction to Financial Option Valuation 2004, Cambridge University Press.
154. Hillier Frederick S. Heuristics: A Gambler's Roll. Interfaces 1983, 13(3):9-12.
155. Holland John H. Adaptation in Natural and Artificial Systems: An Introductory Analysis with Applications to Biology, Control and Artificial Intelligence 1992, MIT Press.
156. Hooke Robert, Jeeves Terry A. 'Direct search' Solution of Numerical and Statistical Problems. Journal of ACM 1961, 8(2):212-229.
157. Hoos Holger H., Stützle Thomas Stochastic Local Search: Foundations and Applications 2004, Morgan Kaufmann.
158. Hotelling Harold, Pabst Margaret Richards Rank Correlation and Tests of Significance Involving No Assumption of Normality. Annals of Mathematical Statistics 1936, 7(1):29-43.
159. Hsu Feng-hsiung Cracking Go. IEEE Spectrum 2007, 44(10):50-55.
160. Hull John Options, Futures, and Other Derivatives 2008, Prentice Hall. 7th ed.
161. Hull John, White Alan Incorporating Volatility Updating with the Historical Simulation Method for Value at Risk. Journal of Risk 1998, 1(1):5-19.
162. Hyndman Rob J., Fan Yanan Sample Quantiles in Statistical Packages. American Statistician 1996, 50(4):361-365.
163. Iacus Stefano M. Simulation and Inference for Stochastic Differential Equations 2008, Springer.
164. Ince Ozgur S., Porter R. Burt Individual Equity Return Data from Thomson Datastream: Handle with Care!. Journal of Financial Research 2006, 29(4):463-479.
165. Ingersoll Jonathan E. Theory of Financial Decision Making 1987, Rowman & Littlefield.
166. Jabbour George M., Kramin Marat V., Young Stephen D. Two-State Option Pricing: Binomial Models Revisited. Journal of Futures Markets 2001, 21(11):987-1001.
167. Jaschke Stefan, Stehle Richard, Wernicke Stephan Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere. Zeitschrift für betriebswirtschaftliche Forschung 2000, 52(8):440-468.
168. Jessen, Cathrine, Rolf Poulsen. 2009. Empirical Performance of Models for Barrier Option Valuation. Technical report University of Copenhagen.
169. Jobson J.Dave, Korkie Bob Estimation for Markowitz Efficient Portfolios. Journal of the American Statistical Association 1980, 75(371):544-554.
170. Jondeau Eric, Poon Ser-Huang, Rockinger Michael Financial Modeling Under Non-Gaussian Distributions 2007, Springer.
171. Jones Owen, Maillardet Robert, Robinson Andrew Introduction to Scientific Programming and Simulation Using R 2009, CRC Press.
172. Jorion Philippe International Portfolio Diversification with Estimation Risk. Journal of Business 1985, 58(3):259-278.
173. Jorion Philippe Bayes-Stein Estimation for Portfolio Analysis. Journal of Financial and Quantitative Analysis 1986, 21(3):279-292.
174. Joshi Mark S. C++ Design Patterns and Derivatives Pricing 2008, Cambridge University Press. 2nd ed.
175. Kamal Michael, Derman Emuanel When You Cannot Hedge Continuously: The Corrections of Black-Scholes. Risk 1999, 1(12):82-85.
176. Keating Con, Shadwick Bill An Introduction to Omega. AIMA Newsletter 2002.
177. Kempf Alexander, Memmel Christoph Estimating the Global Minimum Variance Portfolio. Schmalenbach Business Review 2006, 58(4):332-348.
178. Khuman, Anil S., Dietmar Maringer, Nick Constantinou. 2008. Constant Proportion Portfolio Insurance: Statistical Properties and Practical Implications. working paper CCFEA WP023-08 University of Essex.
179. Kilin Fiodar Accelerating the Calibration of Stochastic Volatility Models. Centre for Practical Quantitative Finance Working Paper Series No. 6 2007.
180. Kim Gew-rae, Markowitz Harry M. Investment Rules, Margin and Market Volatility. Journal of Portfolio Management 1989, 16:45-52.
181. Kirkpatrick Scott, Gelatt C.Daniel, Vecchi Mario P. Optimization by Simulated Annealing. Science 1983, 220(4598):671-680.
182. Kirman Alan P. Epidemics of Opinion and Speculative Bubbles in Financial Markets. Money and Financial Markets 1991, Macmillan, London. M. Taylor (Ed.).
183. Kirman Alan P. Whom or What Does the Representative Individual Represent?. Journal of Economic Perspectives 1992, 6(2):117-136.
184. Kirman Alan P. Ants, Rationality, and Recruitment. Quarterly Journal of Economics 1993, 108(1):137-156.
185. Klemkosky Robert C., Martin John D. The Adjustment of Beta Forecasts. Journal of Finance 1975, 30(4):1123-1128.
186. Kloeden Peter E., Platen Eckhard The Numerical Solution of Stochastic Differential Equations 1999, Springer, corrected 3rd printing.
187. Knez Peter J., Ready Mark J. On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions. Journal of Finance 1997, 52(4):1355-1382.
188. Konno Hiroshi, Shirakawa Hiroshi, Yamazaki Hiroaki A Mean-Absolute Deviation-Skewness Portfolio Optimization Model. Annals of Operations Research 1993, 45:205-220.
189. Konno Hiroshi, Suzuki Ken-Ichi A Mean-Variance-Skewness Portfolio Optimization Model. Journal of the Operations Research Society of Japan 1995, 38(2):173-187.
190. Lagarias Jeffrey C., Reeds James A., Wright Margareth H., Wright Paul E. Convergence Behavior of the Nelder-Mead Simplex Algorithm in Low Dimensions. SIAM Journal of Optimization 1999, 9(1):112-147.
191. Lawson Charles L., Hanson Richard J. Solving Least Squares Problems 1974, Prentice-Hall, Englewood Cliffs, NJ.
192. LeBaron Blake Agent-Based Computational Finance: Suggested Readings and Early Research. Journal of Economic Dynamics and Control 2000, 24(5-7):679-702.
193. LeBaron Blake Agent-Based Computational Finance. Handbook of Computational Economics Volume II 2006, 1187-1233. Elsevier. L. Tesfatsion, K.L. Judd (Eds.).
194. Leland Hayne E., Rubinstein Mark The Evolution of Portfolio Insurance. Portfolio Insurance: A Guide to Dynamic Hedging 1976, Wiley. D.L. Luskin (Ed.).
195. Lewellen Jonathan, Shanken Jay Learning, Asset-Pricing Tests, and Market Efficiency. Journal of Finance 2002, 57(3):1113-1145.
196. Lewis Alan L. Option Valuation under Stochastic Volatility 2000, Finance Press.
197. Lo Andrew W. Hedge Funds-An Analytic Perspective 2008, Princeton University Press.
198. Lovie Alexander D., Lovie Patricia The Flat Maximum Effect and Linear Scoring Models for Prediction. Journal of Forecasting 1986, 5(3):159-168.
199. Luenberger David G. Investment Science 1998, Oxford University Press, Oxford.
200. Lunde Asger, Hansen Peter Reinhard A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. Journal of Applied Econometrics 2005, 20(7):873-889.
201. Madan Dilip B. On the Modelling of Option Prices. Quantitative Finance 2001, 1(5):481.
202. Makridakis Spyros, Hibon Michèle The M3-Competition: Results, Conclusions and Implications. International Journal of Forecasting 2000, 16(4):451-476.
203. Makridakis Spyros, Hibon Michèle, Moser Claus Accuracy of Forecasting: An Empirical Investigation. Journal of the Royal Statistical Society. Series A (General) 1979, 142(2):97-145.
204. Manaster Steven, Koehler Gary The Calculation of Implied Variances from the Black-Scholes Model: A Note. Journal of Finance 1982, 37(1):227-230.
205. Manousopoulos Polychronis, Michalopoulos Michalis Comparison of Non-linear Optimization Algorithms for Yield Curve Estimation. European Journal of Operational Research 2009, 192(2):594-602.
206. Marazzi Alfio Algorithms, Routines and S-functions for Robust Statistics 1992, Wadsworth & Brooks/Cole.
207. Maringer Dietmar Finding the Relevant Risk Factors for Asset Pricing. Computational Statistics & Data Analysis 2004, 47(2):339-352.
208. Maringer Dietmar Distribution Assumptions and Risk Constraints in Portfolio Optimization. Computational Management Science 2005, 2(2):139-153.
209. Maringer Dietmar Portfolio Management with Heuristic Optimization 2005, Springer.
210. Maringer Dietmar Constrained Index Tracking Under Loss Aversion Using Differential Evolution. Natural Computing in Computational Finance 2008, Michael O'Neill. Springer. A. Brabazon (Ed.).
211. Maringer Dietmar Risk Preferences and Loss Aversion in Portfolio Optimization. Computational Methods in Financial Engineering-Essays in Honour of Manfred Gilli 2008, Springer. E.J. Kontoghiorghes, B. Rustem, P. Winker (Eds.).
212. Maringer, Dietmar, Evdoxia Pliota. 2008a. Clustering of Extreme Events: Application of Time-Varying Threshold and VaR Estimation. Technical report University of Essex.
213. Maringer, Dietmar, Evdoxia Pliota. 2008b. Value at Risk Estimation at Work: The Problem of Sample Length Choice. Technical report University of Essex.
214. Maringer, Dietmar, Evdoxia Pliota. 2008c. Value at Risk Estimation at Work: The Problem of Threshold Choice. Technical report University of Essex.
215. Maringer Dietmar, Oyewumi Olufemi Index Tracking with Constrained Portfolios. Intelligent Systems in Accounting, Finance & Management 2007, 15(1):57-71.
216. Maringer Dietmar, Parpas Panos Global Optimization of Higher Order Moments in Portfolio Selection. Journal of Global Optimization 2009, 43(2-3):219-230.
217. Maringer, Dietmar, Tikesh Ramtohul. 2011. Rebalancing Triggers for the CPPI Using Genetic Programming. Technical report University of Basel.
218. Markowitz Harry M. Portfolio Selection. Journal of Finance 1952, 7(1):77-91.
219. Markowitz Harry M. Portfolio Selection 1959, Wiley, New York.
220. Marsaglia George Normal (Gaussian) Random Variables for Supercomputers. Journal of Supercomputing 1991, 5:49-55.
221. Marsaglia, George. 1995. "The Marsaglia Random Number CDROM including the Diehard Battery of Tests of Randomness.".
222. Marsaglia George, Tsang Wai Wan The Ziggurat Method for Generating Random Variables. Journal of Statistical Software 2000, 5(8):1-7.
223. Martin R.Douglas, Simin Timothy T. Outlier-Resistant Estimates of Beta. Financial Analysts Journal 2003, 59(5):56-69.
224. MathWorks Accelerating MATLAB-The MATLAB JIT-Accelerator. MATLAB Digest 2002, 10(5).
225. Matsumoto Makoto, Nishimura Takuji Mersenne Twister: A 623-dimensionally Equidistributed Uniform Pseudorandom Number Generator. ACM Transactions on Modeling and Computer Simulations 1998, 8(1):3-30.
226. McNeil Alexander J., Frey Rüdiger, Embrechts Paul Quantitative Risk Management: Concepts, Techniques and Tools 2005, Princeton University Press.
227. Merton Robert C. Theory of Rational Option Pricing. Bell Journal of Economics and Management Science 1973, 4(1):141-183.
228. Merton Robert C. Option Pricing when Underlying Stock Returns are Discontinuous. Journal of Financial Economics 1976, 3(1-2):125-144.
229. Metropolis Nicholas C., Rosenbluth Arianna W., Rosenbluth Marshall N., Teller Augusta H., Teller Edward Equations of State Calculation by Fast Computing Machines. Journal of Chemical Physics 1953, 21(6):1087-1092.
230. Metropolis Nicholas C., Ulam Stanislaw M. The Monte Carlo Method. Journal of the American Statistical Association 1949, 44(247):335-341.
231. Michalewicz Zbigniew, Fogel David B. How to Solve it: Modern Heuristics 2004, Springer.
232. Michaud Richard O. The Markowitz Optimization Enigma: Is 'Optimized' Optimal?. Financial Analysts Journal 1989, 45(1):31-42.
233. Mikhailov Sergei, Nögel Ulrich Heston's Stochastic Volatility Model Implementation, Calibration and Some Extensions. Wilmott Magazine 2003, 74-79.
234. Miller John H., Page Scott E. Complex Adaptive Systems. An Introduction to Computational Models of Social Life 2007, Princeton University Press.
235. Moler Cleve B. Numerical Computing with MATLAB 2004, SIAM, Available online from http://www.mathworks.com/moler/index_ncm.html.
236. Morgenstern Oskar On the Accuracy of Economic Observations 1963, Princeton University Press. 2nd ed.
237. Moscato, Pablo. 1989. On Evolution, Search, Optimization, Genetic Algorithms and Martial Arts-Towards Memetic Algorithms. Technical Report 790 CalTech California Institute of Technology.
238. Moscato Pablo, Fontanari José F. Stochastic Versus Deterministic Update in Simulated Annealing. Physics Letters A 1990, 146(4):204-208.
239. Müller Robert Zur Berechnung der Obligationenrenditen im Statistischen Monatsheft der SNB. SNB Quartalsheft 2002, (2):64-73.
240. Numerical Methods for Unconstrained Optimization 1972, Academic Press. W. Murray (Ed.).
241. Nelder John A., Mead Roger A Simplex Method for Function Minimization. Computer Journal 1965, 7(4):308-313.
242. Nelson Charles R., Siegel Andrew F. Parsimonious Modeling of Yield Curves. Journal of Business 1987, 60(4):473-489.
243. Nelson Daniel B. Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 1991, 59(2). 347-70.
244. Niederreiter Harald Random Number Generation and Quasi-Monte Carlo Methods 1992, Society for Industrial Mathematics.
245. Nocedal Jorge, Wright Stephen J. Numerical Optimization 2006, Springer. 2nd ed.
246. Pearl Judea Heuristics 1984, Addison-Wesley.
247. Perold, Andre F. 1986. Constant Portfolio Insurance. working paper Harvard Business School.
248. Petersen, Kaare Brandt, Michael Syskind Pedersen. 2008. "The Matrix Cookbook.". Version 20081110.
249. George Pólya How to Solve it 1957, Princeton University Press. 2nd ed.
250. Powell Michael J.D. Problems Related to Unconstrained Optimization. Numerical Methods for Unconstrained Optimization 1972, Academic Press. W. Murray (Ed.).
251. Price Kenneth M., Storn Rainer M., Lampinen Jouni A. Differential Evolution-A practical approach to global optimization 2005, Springer.
252. R: A Language and Environment for Statistical Computing 2008, R Development Core Team, R Foundation for Statistical Computing, Vienna, Austria.
253. Rebonato Riccardo, Jäckel Peter The most general methodology to create a valid correlation matrix for risk management and option pricing purposes Available online from. http://www.riccardorebonato.co.uk/papers/ValCorMat.pdf.
254. Ripley Brian D. Stochastic Simulation 1987, Wiley.
255. Rockafellar R.Tyrrell, Uryasev Stanislav Optimization of Conditional Value-at-Risk. Journal of Risk 2000, 2(3):21-41.
256. Rosenblatt Murray Remarks on Some Nonparametric Estimates of a Density Function. Annals of Mathematical Statistics 1956, 27:832-835.
257. Rousseeuw Peter J. Least Median of Squares Regression. Journal of the American Statistical Association 1984, 79(388):871-880.
258. Rousseeuw Peter J. Introduction to Positive-Breakdown Methods. Handbook of Statistics 1997, Vol. 15. Elsevier, chapter 5.
259. Rousseeuw Peter J., Van Driessen Katrien Computing LTS Regression for Large Data Sets. Data Mining and Knowledge Discovery 2005, 12(1):29-45.
260. Roy Arthur D. Safety First and the Holding of Assets. Econometrica 1952, 20(3):431-449.
261. Rubinstein Mark Implied Binomial Trees. Journal of Finance 1994, 49(3):771-818.
262. Rudolf Markus, Wolter Hans-Jürgen, Zimmermann Heinz A linear model for tracking error minimization. Journal of Banking & Finance 1999, 23(1):85-103.
263. Rudolph Günter Convergence Analysis of Canonical Genetic Algorithms. IEEE Transactions on Neural Networks 1994, 5(1):96-101.
264. Ruppert David Computing S-estimators for regression and multivariate location/dispersion. Journal of Computational and Graphical Statistics 1992, 1(3):253-270.
265. Saad Yousef Iterative Meethods for Sparse Linear Systems 1996, PWS Publishing Co, Boston, MA.
266. Salibian-Barrera Matías, Yohai Víctor A Fast Algorithm for S-Regression Estimates. Journal of Computational and Graphical Statistics 2006, 15(2):414-427.
267. Schlottmann Frank, Seese Detlef Modern Heuristics for Finance Problems: A Survey of Selected Methods and Applications. Handbook of Computational and Numerical Methods in Finance 2004, Birkhäuser. S.T. Rachev (Ed.).
268. Schoutens Wim Lévy Processes in Finance: Pricing Financial Derivatives 2003, Wiley.
269. Schoutens Wim, Simons Erwin, Tistaert Jurgen A Perfect Calibration! Now What?. Wilmott Magazine 2004.
270. Schumann, Enrico. 2010. Essays on Practical Financial Optimisation, PhD thesis. University of Geneva.
271. Schuur Peter C. Classification of Acceptance Criteria for the Simulated Annealing Algorithm. Mathematics of Operations Research 1997, 22(2):266-275.
272. Schwager Jack D. Market Wizards 1993, HarperBusiness.
273. Schwarz Gideon Estimating the Dimensions of a Model. Annals of Statistics 1978, 6(2):461-464.
274. Sharpe William F. Asset Allocation: Management Style and Performance Measurement. Journal of Portfolio Management 1992, 18(2):7-19.
275. Silverman Bernard W. Density Estimation for Statistics and Data Analysis 1986, Chapman and Hall, London.
276. Smith G.D. Numerical Solution of Partial Differential Equations: Finite Difference Methods 1985, Oxford University Press. 3rd ed.
277. Sortino Frank, van der Meer Robert, Plantinga Auke The Dutch Triangle. Journal of Portfolio Management 1999, 26(1):50-58.
278. Spendley William, Hext George R., Himsworth Francis R. Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation. Technometrics 1962, 4(4):441-461.
279. Staunton Mike From Floating Points to Binomial Trees. Wilmott Magazine 2003, 1:44-47.
280. Storn Rainer M., Price Kenneth V. Differential Evolution-A Simple and Efficient Heuristic for Global Optimization over Continuous Spaces. Journal of Global Optimization 1997, 11(4):341-359.
281. Stoyanov Stoyan V., Rachev Svetlozar T., Fabozzi Frank J. Optimal Financial Portfolios. Applied Mathematical Finance 2007, 14(5):401-436.
282. Stützle Thomas, Dorigo Marco A Short Convergence Proof for a Class of Ant Colony Optimization Algorithms. IEEE Transactions On Evolutionary Computation 2002, 6(4):358-365.
283. Svensson Lars E.O. Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994. IMF Working Paper 94/114 1994.
284. Taillard Eric D., Gambardella Luca M., Gendreau Michel, Potvin Jean-Yves Adaptive Memory Programming: A Unified View of Metaheuristics. European Journal of Operational Research 2000, 135(1):1-16.
285. Talbi El-Ghazali A Taxonomy of Hybrid Metaheuristics. Journal of Heuristics 2002, 8(5):541-564.
286. Tan Ken Seng, Boyle Phelim P. Applications of Scrambled Low Discrepancy Sequences To Exotic Options. Proceedings AFIR Colloquium Cairns 1997, 885-917.
287. Taylor Malcom S., Thompson Janes R. A Data Based Algorithm for the Generation of Random Vectors. Computational Statistics & Data Analysis 1986, 4:93-101.
288. Handbook of Computational Economics. Volume 2: Agent-Based Computational Economics 2006, Elsevier, Amsterdam. T. Leigh, K.L. Judd (Eds.).
289. Timmermann Allan How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices. Quarterly Journal of Economics 1993, 108(4):1135-1145.
290. Timmermann Allan Excess Volatility and Predictability of Stock Returns in Autoregressive Dividend Models with Learning. Review of Economic Studies 1996, 63(4):523-558.
291. Tobin James Liquidity Preference as a Behavior Towards Risk. Review of Economic Studies 1958, 25(2):65-86.
292. Torczon, Virginia J. 1989. Multi-directional Search: A Direct Search Algorithm for Parallel Machines, PhD thesis. Rice University.
293. Torczon Virginia J. On the Convergence of Pattern Search Algorithms. SIAM Journal of Optimization 1997, 7(1):1-25.
294. Trefethen Lloyd N. Is Gauss Quadrature Better than Clenshaw-Curtis?. SIAM Review 2008, 50(1):67-87.
295. Trefethen Lloyd N. Numerical Analysis. Princeton Companion to Mathematics 2008, Princeton University Press. T. Gowers, J. Barrow-Green, I. Leader (Eds.).
296. Tufte Edward R. The Visual Display of Quantitative Information 2001, Graphics Press. 2nd ed.
297. Turlach Berwin A., Weingessel Andreas quadprog: Functions to solve Quadratic Programming Problems 2007, R package version 1.4-11.
298. Tversky Amos, Kahneman Daniel Judgment under Uncertainty: Heuristics and Biases. Science 1974, 185(4157):1124-1131.
299. Ulam, Stanislaw M., Robert D. Richtmyer, John von Neumann. 1947. Statistical Methods in Neutron Diffusion. report LAMS-551, Los Alamos Scientific Laboratory.
300. van den Bergh Frans, Engelbrecht Andries P. A Study of Particle Swarm Optimization Particle Trajectories. Information Sciences 2006, 176(8):937-971.
301. Vasicek Oldrich A. A Note on the Cross-Sectional Information in Bayesian Estimation of Security Betas. Journal of Finance 1973, 28(5):1233-1239.
302. Venables William N., Ripley Brian D. S Programming 2000, Springer.
303. Venables William N., Ripley Brian D. Modern Applied Statistics with S 2002, Springer. 4th ed.
304. von Neumann John, Goldstine Herman H. Numerical Inverting of Matrices of High Order. Bulletin of the American Mathematical Society 1947, 53(11):1021-1099.
305. Wets Roger J.-B., Bianchi Stephen W. Term and Volatility Structures. Handbook of Asset and Liability Management 2006, Vol. 1. North-Holland.
306. Wilf Herbert S. Mathematics for the Physical Sciences 1978, Dover.
307. Wilmott Paul, Dewynne Jeff, Howison Sam Option Pricing 1993, Oxford Financial Press.
308. Windcliff Heath, Boyle Phelim P. The 1/n Pension Investment Puzzle. North American Actuarial Journal 2004, 8(3):32-45.
309. Winker Peter Optimization Heuristics in Econometrics: Applications of Threshold Accepting 2001, Wiley.
310. Winker Peter, Maringer Dietmar The Hidden Risks of Optimizing Portfolios under Value at Risk. Journal of Risk 2007, 9(4):1-19.
311. Winker Peter, Maringer Dietmar The Threshold Accepting Optimisation Algorithm in Economics and Statistics. Optimisation, Econometric and Financial Analysis 2007, 107-125. Springer, Vol. 9 of Advances in Computational Management Science. E.J. Kontoghiorghes, C. Gatu (Eds.).
312. Winker Peter, Maringer Dietmar The Convergence of Estimators based on Heuristics: Theory and Application to a GARCH Model. Computational Statistics 2009, 24(3):522-550.
313. Winker Peter, Fang Kai-tai Application of Threshold-Accepting to the Evaluation of the Discrepancy of a Set of Points. SIAM Journal on Numerical Analysis 1997, 34(5):2028-2042.
314. Winker Peter, Gilli Manfred Applications of Optimization Heuristics to Estimation and Modelling Problems. Computational Statistics & Data Analysis 2004, 47(2):211-223.
315. Winker Peter, Gilli Manfred, Jeleskovic Vahidin An Objective Function for Simulation Based Inference on Exchange Rate Data. Journal of Economic Interaction and Coordination 2007, 2(2):125-145.
316. Wright Margaret H. Direct Search Methods: Once Scorned, Now Respectable. Numerical Analysis 1995 (Proceedings of the 1995 Dundee Biennial Conference in Numerical Analysis 1996, 191-208. Addison Wesley Longman. D.F. Griffiths, G.A. Watson (Eds.).
317. Wright, Margaret H. 2000. What, If Anything, Is New in Optimization. Technical Report 00-4-08 Computing Sciences Research Center, Bell Laboratories Murray Hill, New Jersey 07974:. http://cm.bell-labs.com/cm/cs/doc/00/4-08.ps.gz. http://cm.bell-labs.com/cm/cs/doc/00/4-08.ps.gz.
318. Youngs Edward A., Cramer Elliot M. Some Results Relevant to Choice of Sum and Sum-of-Product Algorithms. Technometrics 1971, 13(3):657-665.
319. Zanakis Stelios H., Evans James R. Heuristic "Optimization": Why, When, and How to Use It. Interfaces 1981, 11(5):84-91.
320. Zeileis Achim, Kleiber Christian Approximate Replication of High-Breakdown Robust Regression Techniques. Journal of Economic and Social Measurement 2009, 34(2-3):191-203.
321. Zhang Jin, Maringer Dietmar Index Mutual Fund Replication. Natural Computing in Computational Finance Vol. 3 2009, Springer. A. Brabazon, M. O'Neill, D. Maringer (Eds.).