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Serial and parallel Krylov methods for implicit finite difference schemes arising in multivariate option pricing
Gilli, Manfred; Ke͏̈llezi, Evis; Pauletto, Giorgio - 2001
Persistent link: https://www.econbiz.de/10001592002
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Extreme value theory for tail-related risk measures
Gilli, Manfred; Ke͏̈llezi, Evis - 2000
Persistent link: https://www.econbiz.de/10001599884
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A heuristic approach to portfolio optimization
Gilli, Manfred; Ke͏̈llezi, Evis - 2000
Persistent link: https://www.econbiz.de/10001599885
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The threshold accepting heuristic for index tracking
Gilli, Manfred; Ke͏̈llezi, Evis - In: Financial engineering, E-commerce and supply chain, (pp. 1-18). 2002
Persistent link: https://www.econbiz.de/10001746914
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Solving finite difference schemes arising in trivariate option pricing
Gilli, Manfred - In: Journal of economic dynamics & control 26 (2002) 9/10, pp. 1499-1515
Persistent link: https://www.econbiz.de/10001668434
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Sparse direct methods for model simulation
Gilli, Manfred; Pauletto, Giorgio - 1995
Persistent link: https://www.econbiz.de/10000913343
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High performance computing in economics : SP1 for macroeconomic model simulation
Gilli, Manfred; Pauletto, Giorgio - 1994
Persistent link: https://www.econbiz.de/10000906384
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Using catastrophe-linked securities to diversify insurance risk : a financial analysis of cat bonds
Loubergé, Henri; Kellezi, Evis; Gilli, Manfred - 1999
Persistent link: https://www.econbiz.de/10001350637
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Sparse direct methods for model simulation
Gilli, Manfred - In: Journal of economic dynamics & control 21 (1997) 6, pp. 1093-1111
Persistent link: https://www.econbiz.de/10001335977
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Krylov methods for solving models with forward-looking variables
Gilli, Manfred - In: Journal of economic dynamics & control 22 (1998) 8, pp. 1275-1289
Persistent link: https://www.econbiz.de/10001250765