Technical Reports

Technical Reports 2011

• CTR/90/11: Enhanced Index Based on Second-Order Stochastic Dominance
  D Roman, G Mitra, V Zviarovich

Technical Reports 2010

• CTR-90-10: Financial Contagion Simulation through Modelling Behavioural Characteristics of Market Participants and Capturing
  Cross-Market Linkages
  A Serguieva, F Liu, P Date
  
  
• CTR/89/10: A Mixed-Game and Co-Evoluntionary Genetic Programming Agent-Based Model of Financial Contagion.
  A Serguieva, F Liu, P Date

Technical Reports 2009

• CTR/88/09: Idiosyncratic Risk Measurement for Financial Institutions.
  A Serguieva, S Bozhkov, K Yu

• CTR/87/09: An enhanced model for portfolio choice with SSD criteria: a constructive approach.
  C Fabian, G Mitra, D Roman & V Zverovich

Technical Reports 2008

• CTR/75/08: Processing Second-Order Stochastic Dominance models using cutting-plane representations
  C Fabian, G Mitra and D Roman

• CTR/76/08: Robust Optimization and Portfolio Selection: The Cost of Robustness
  C Gregory, G Mitra and K Darby-Dowman

• CTR/77/08: Hidden Markov Models for Financial Optimisation Problems
  Diana Roman, Gautam Mitra, Nicola Spagnolo

• CTR/78/08: HMM based scenario generation for an investment optimisation problem
  Diana Roman, Christine Erlwein, Gautam Mitra

• CTR/79/08: Catastrophic and Operational Risk Measurement for Financial Institutions
  Antoaneta Serguieva, Stanislav Bozhkov, Keming Yu

• CTR/80/08: An Enhanced Model for Portfolio Choice with SSD Criteria: a Constructive Approach
  Csaba I. Fabian, Gautam Mitra, Diana Roman, Victor Zviarovich

• CTR/81/08: Dynamic Interatcion Networks in Modelling and Predicting the Behaviour of Multiple Interative Stock Markets
  Harya Widiputra, Russel Pears, Antoaneta Serguieva, Nikola Kasabov

• CTR/82/08: Metaheuristic Approaches for the Quartet Method of Hierarchical Clustering
  S Consoli, G Geleijnse, J Korst, S Pauws, K Darby-Dowman

• CTR/83/08: Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment
  L Mitra, G Mitra, D DiBartolomeo

• CTR/84/08: A Special Report I: Quantitative Methods for LDI Solutions.
  L Mitra, K Schwaiger

• CTR/85/08: A Special Report II: LDI: An Enterprise-Wide Risk Management Approach.
  L Mitra, K Schwaiger

 

• CTR/86/08: Defined Contribution Schemed: Members alive and kicking! But is the fund dead?
  L Mitra, K Schwaiger

Technical Reports 2007

• CTR/74/07: Solving the minimum labelling spanning tree problem using hybrid local search
  S Consoli, K Darby-Dowman, N Mladenovic, J. A. Moreno-Perez

• CTR/73/07: Variable neighbourhood search for the minimum labelling Steiner tree problem
  S Consoli, K Darby-Dowman, N Mladenovic, J. A. Moreno-Perez

• CTR/72/07: Long-Short Portfolio Optimisation in Presence of Discrete Asset Choice Constraints and Two Risk Measures
  R Kumar, G Mitra and D Roman

• CTR/71/07: Pricing and evaluating a bond portfolio using a regime switching Markov model
  L Mitra, R Mamon and G Mitra

• CTR/70/07: Nonparametric Multivariate Conditional Distribution and Quantile Regression
  X Sun, K Yu and G Mitra

• CTR/69/07: Endogenous Selection of Aspiring and Rational rules in Coordination Games
  M Dziubinski and J Roy

• CTR/68/07: HMM Based Scenario Generation for an Investment Optimization Problem
  C Erlwein, G Mitra and D Roman

• CTR/67/07: Aggregation of Market Risk and Credit Risk CARISMA Internal Report
  Oliwia Kozlowska, Supervisors: Paresh Date, Gautam Mitra

• CTR/66/07: Iterative Procedures for Identification of Nonlinear Interconnected Systems
  Eleni Pepona, Paresh Date

• CTR/65/07: Heuristics based on greedy randomized adaptive search and variable neighbourhood search for the minimum labelling spanning tree problem
  S.Consoli, K.Darby-Dowman, N. Mladenovic and J.A. Moreno-Perez

• CTR/64/07: Discrete Particle Swarm Optimization for the minimum labelling Steiner tree problem
  S.Consoli, J.A. Moreno Perez, K.Darby-Dowman and N.Mladenovic

Technical Reports - 2006

• CTR/63/06: Mejora de la exploracion y la explotacion del las heuristicas constructivas para el MLSTP
  S.Consoli, J. A. Moreno-Perez, N. Mladenovic and K.Darby-Dowman

• CTR/62/06: Constructive Heuristics for the Minimum Labelling Spanning Tree Problem: a preliminary comparison
  S.Consoli, A. Moreno Jose, N. Mladenovic and K.Darby-Dowman

• CTR/61/06: Combinatorial Optimization and Metaheuristics
  S.Consoli, Supervisor: Professor K.Darby-Dowman

• CTR/60/06: A note on duality gap in the simple plant location problem
  N. Mladenovic , J. Brimberg and P. Hansen

• CTR/59/06: Variable neighbourhood search and local branching
  P. Hansen , N. Mladenovic and D. Urosevic

• CTR/58/06: First improvement may be better than the best improvement : An empirical study
  P. Hansen and N. Mladenovic

• CTR/57/06: Bayesian analysis of a Tobit quantile regression model
  K. Yu and J. Stander

• CTR/56/06: Likelihood-based kernel estimation in semiparametric errors-in-covariables models with validation data
  Q. Wang and K. Yu

• CTR/55/06: An overview of the issues in the airline industry and the role of optimization models and algorithms
  A.H. Ahmed and C.A. Poojari

• CTR/54/06: Parameter estimation of an interest rate model via HMM filtering method in discrete time
  Christina Erlwein and Rogermar Mamon

• CTR/52/06: Pricing and evaluating a bond portfolio using a hidden Markov
  L. Mitra, R. Mamon and G. Mitra

• CTR/51/06: Mean - Risk Models using Two Risk Measures: A Multi-Objective Approach
  D. Roman , G. Mitra and K. Darby-Dowman

• CTR/50/06: Linear state models for volatility estimation and prediction
  Richard Hawkes and Paresh Date

• CTR/49/06: Robust solutions and risk measures for a Supply chain planning problem under uncertainty
  Chandra A Poojari, Cormac Lucas and Gautam Mitra

• CTR/48/06: An Application of Mellin Transform Techniques to a Black-Scholes Equation Problem
  Marianito R Rodrigo and Rogemar Mamon

• CTR/47/06: Implied volatility estimation: ill posedness and implementation of a proposed algorithm
  Marianito R Rodrigo and Rogemar Mamon

• CTR/46/06: Implied volatility estimation via the moments of the call price, Marianito R Rodrigo and Rogemar Mamon

• CTR/45/06: Quadratic Programming for Portfolio Planning: Insights into Algorithmic and Computational Issues
  G Mitra, E D F Ellison and A Scowcroft

Technical Reports - 2005

• CTR/41/05: An investigation into approximate solutions for deterministic and stochastic multi-dimensional sequencing
  S. Patkar, C.A. Poojari and J. Porwal

• CTR/39/05: A Streamlined Derivation of the Black-Scholes Option Pricing Formula
  Rogermar Mamon

• CTR/38/05: An Alternative Approach to Solving the Black-Sholes Equation with Time-Varying Parameters
  Marianito R Rodrigo and Rogemar Mamon

• CTR/37/05: Bond Price Analysis under Stochastic Interest Rates and Regime Uncertainty
  Rogermar Mamon

• CTR/36/05: Explicit Solutions to European Options in a Regime-Switching
  Rogemar Mamon and Marianito Rodrigo

Technical Reports - 2004  

• CTR/36/04: Knowledge Representation in Risk
  Antoaneta Serguieva and Tariq Khan

• CTR/35/04: The evolutionof web-based optimisation from ASP to e-service,
  Partick Valente and Gautam Mitra - Was CTR/08 - Revised Oct 2004

• CTR/34/04: Genetic algorithm based technique for solving chance constrained problems arising in risk management. ,
  Boby Varghese, Chandra Poojari

• CTR/33/04: Portfolio Optimisation Models and Properties of Return Distributions ,
  Diana Roman, Ken Darby-Dowman, Gautam Mitra

• CTR/28/04: Treasury Management Model with Foreign Exchange Exposure,
  K Volosov, G Mitra, F. Spagnolo, C A Lucas.

• CTR/27/04: A Decision Model for Natural Oil Buying Policy under Uncertainty,
  C Poojari, C A Lucas, G Mitra.

• CTR/26/04: Stochastic Programming and Scenario Generation within a Simulation Framework : An Information Systems Perspective,
  N Di Domenica, G Birbilis, G Mitra, P Valente.

• CTR/25/04: Strategic and tactical planning models for supplychain: an application of stochastic mixed integer programming.
  G Mitra CARISMA, C Poojari CARISMA, S Sen Univ. of Arizona.

Technical Reports - 2003

• CTR/31/03: Scenario Generation for Stochastic Programming
  (SP) and Simulation: A Modelling Perspective,
  Nico Di Domenica, Cormac Lucas, Manti Mendi, Gautam Mitra, Patrick Valente.

• CTR/23/03: Red Signals: Current Account Deficits and Sustainability,
  M Raybaudi, M Sola, F Spagnolo

• CTR/22/03: Revisiting the forward-spot relation: An application of the nonparametric long-run correlation coefficients,
  C Ioannidis, A Kanas

• CTR/21/03: Some Further Empirical Evidence on the Impact of Oil Price Changes on Petrol Prices,
  N Driffield, C Ioannidis, D A Peel

• CTR/20/03: Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables,
  F Spagnolo, Z Psaradakis, M Sola

• CTR/19/03: Uncertainty Modelling in Linear Dynamic Systems: A Feedback Point of View,
  P Date

• CTR/18/03: Estimating Fama-Campbell-Shiller Term Structure Equations in the Presence of Risk Premia and Markov Regime Shifts,
  Z Psaradakis, M Sola, F Spagnolo

• CTR/17/03: On Model Selection and Markov Switching: An Empirical Examination of Term Structure Models with Regime Shifts,
  J Dirffill, T Kenc, M Sola, F Spagnolo

• CTR/16/03: Forecast Performance of Nonlinear Error-Correction Models with Multiple Regimes,
  Z Psaradakis, F Spagnolo

• CTR/15/03: The Feldstein-Horioka puzzle is not as bad as you think
  J Coakley, A-M Fuertes, F Spagnolo

• CTR/14/03: Contemporaneous Threshold Autoregressive Models: Estimation, Forecasting and Rational Expectations Applications,
  M Dueker, M Sola, F Spagnolo
  
  

• CTR/13/03: Should Monetary Policy Respond to Asset Price Misalignment?,
  A Kontonikas and C Ioannidis

• CTR/12/03:Liquidity Effects due to Information Costs from Changes in the FTSE 100 List,
  A Gregoriou and C Ioannidis

• CTR/11/03: GMM and present value tests of the C-CAPM under Transactions Costs: Evidence from the UK Stock market,
  A Gregoriou and C Ioannidis

• CTR/10/03: Long-Range Dependence in Daily Interest Rates,
  C Ioannidis and M Monoyios.

• CTR/09/03: Extending algebraic modelling languages for Stochastic Programming,
  P Valente, G Mitra, M Sadki, and R Fourer.

• CTR/08/03: The evolution of web-based optimisation: from ASP to e-service,
  P Valente, G Mitra

• CTR/07/03: Modelling choice under risk: an overview of risk measures,
  K Darby-Dowman, G Mitra, D Roman

• CTR/06/03: A decision model for Natural Oil buying policy under uncertainty,
  C A Poojari, C A Lucas, G Mitra

• CTR/05/03: Understanding Portfolio Behaviour Using @Risk,
  G Birbilis, C A Lucas, G Mitra

• CTR/04/03: Revisiting Lagrange Relaxation (LR) for Processing Large-scale Mixed Integer Programming (MIP) Problems,
  C Siamitros, G Mitra, C A Poojari

• CTR/03/03: Dynamic Asset (and Liability) Management under Market and Credit Risk,
  N J Jobst, G Mitra, S A Zenios

• CTR/02/03: Asset Liability Management using Stochastic Programming,
  M Pirbhai, G Mitra, T Kyriakis

• CTR/01/03: A Review of Portfolio Planning: Models and Systems,
  G Mitra, T Kyriakis, C A Lucas, M Pirbhai

Technical Reports - up to 2002

• A two Stage Parallel Branch and Bound Algorithm for Mixed Integer programs,
  Vincent Nwana, K. Darby Dowman, Gautam Mitra.

• Information Asymmetry and Bid-Ask Spread
  Ioannidis (2002) (with L. Skerratt and A. Gregoriou)

• on markov error-correction models
  Zacharias Psaradakisa, Martin Sola, Fabio Spagnolo

• A Test for Volatility Spillovers.
  martin sola, fabio spagnolo and nicola spagnolo

• Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables.
  Fabio Spagnolo, Zacharias Psaradakisa and Martin Sola

• Risk Premia with Markov Regimes and the Term Structure of Interest Rates
  Zacharias Psaradakisa, Martin Sola, Fabio Spagnolo

• A Two-Stage Stochastic Programming with Recourse Model for Determining Robust Planting Plan in Horticulture
  Ken Darby Dowman, Simon Barker, Eric Audsley and David Parsons

• a simple procedure for detecting periodically collapsing rational bubbles
  zacharias psaradakisa, martin sola and fabio spagnolo

• In‡ation Targeting and Exchange Rate Co-ordination
  Fernando Alexandre, John Drilly and Fabio Spagnolo

• Revisiting the forward-spot relation : An application of the nonparametric long-run correlation coefficient
  Ioannidis (2002) (with A. Kanas)

• A co-operative parallel heuristic for integer linear programming: Combining simulated annealing with branch & bound, Vincent Nwana, K Darby-Dowman and G Mitra. - TR/11/2002

• Software tools for stochastic programming: A Stochastic Programming Integrated Environment (SPInE), P Valente, G Mitra, C Poojari and T Kyriakis. - TR/10/2001

• Tracking Bond Indices in an Integrated Market and Credit Risk Environment, Norbert J. Jobst and Stavros A. Zenios, Working Paper 01-04, HERMES Center of Excellence on Computational Finance & Economics School of Economics and Management, University of Cyprus, Nicosia, Cyprus (2001).

• Identifying Euler Equations Estimated by Non-Linear IV/GMM”
  Ioannidis (2001) (with J. Hunter)

• The Time series Properties of Financial Ratios”
  Ioannidis(2001) (with D. A. Peel and M. Peel) (forthcoming : Journal of Business Finance and Accounting)

• Empirical Evidence of the Relationship between the Term structure of Interest rates and Future Real Output Changes when there are Changes in Policy regimes
  Ioannidis (2001) (with D. A. Peel) (forthcoming : Economics Letters)

• Parallel Mixed Integer Programming: A Status Review,
  Vincent Nwana and G Mitra. - TR/02/2000

• Solving two-stage integer stochastic programs by lagrangean relaxation: an enumerative approach ,
  Chandra Poojari, Cormac Lucas, S A Mirhassani, and G Mitra. - TR/01/2000

• Dynamic Hedging with Stochastic Implied Volatility ,
  Manti Mendi and Michael Monoyios

• Risk Premia with Markov Regimes and the Term Structure of Interest Rates,
  (with Psaradakis, Z. and Sola, M.), Birkbeck Department of Economics Discussion.

• Instrumental-Variables Estimation in Markov Switching Models, with an Application to Testing the Unbiased Forward Exchange Rate Hypothesis(with Psaradakis, Z. and Sola, M.), Birkbeck Department of Economics Discussion Paper.

• Red Signals: Trade Deficits and the Current Account,
  (marzia raybaudi, martin sola, fabio spagnolo)

• Estimates for a Monetary Policy Game (with Driffill, J. Smith, R. e Sola, M.), Birkbeck Department of Economics Discussion Paper.

• Extending credit risk (pricing) models for the simulation of portfolios of interest rate and credit risk sensitive securities ,
  Norbert J. Jobst and Stavros A. Zenios.

• Current developments in reduced-form models of default risk ,
  Norbert J. Jobst and Philipp J. Schönbucher

• Managing Credit Risk in dynamic Asset-Liability Management models, in preparation.,
  Norbert J. Jobst, Stavros A. Zenios and Gautam Mitra

• Credit Risk Pricing Theory and Arbitrage Free Aggregation Methods for Stochastic Programming Asset-Liability Management, in preparation. ,
  Norbert J. Jobst and Gautam Mitra

Copyright © 2008 CARISMA.
T:   +44 (0)1895 265187   F:   +44 (0)1895 269732

• HOME
• ABOUT US
• RESEARCH
• NEWS & EVENTS
• PEOPLE
• PUBLICATIONS & REPORTS
• MASTERS COURSES
• LINKS
• SITE MAP

• Publications
• Books
• Technical Reports
• Presentations