COMISEF Fellows’ Workshop on Numerical Methods and Optimisation in Finance
The following slides are from presentations given at the COMISEF Fellows’ Workshop on Numerical Methods and Optimisation in Finance at Birkbeck, University of London from 18–19 June 2009. The programme including abstracts can be accessed here.
- An Introduction to Software Testing and Test strategies, in context with HO and with an example with TA and CAPM by Chris Sharpe.
- Robust Portfolio Decisions with Higher Order Moments by Polyxeni M. Kleniati.
- Optimising Risk and Reward of Financial Portfolios with Threshold Accepting by Enrico Schumann.
- Bayesian Forecasting using an Extended Nelson-Siegel Model by Fuyu Yang.
- Index Mutual Fund Replication (accompanying table) by Jin Zhang.
- Heuristic Optimization Strategies in Finance - An Overview by Marianna Lyra.
- Too Interconnected to Fail: CDS Network of US Banks by Ali Rais shaghaghi and Mateusz Gatkowski.
- Robust Optimization Applied to a Currency Portfolio by Raquel Fonseca.
- Bounding options prices using SDP with change of numeraire by Kai Ye.
- An Automated Trading System based on Recurrent Reinforcement Learning by Tikesh Ramtohul.
- Robust Portfolio Optimization with Derivative Insurance Guarantees by Steve Zymler.
- Parts of the presentation of Mattheos Protopapas on Genetic Algorithms can be found at http://www.youtube.com/user/MantzosProtopapas.