Many numerical methods to price options have been suggested in the finance literature. This paper aims at reviewing several numerical approaches in order to discuss their practical strenghts and/or weaknesses. The problem under investigation is a multivariate contingent claims model with three...

In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the...

The paper first compares the use of optimization heuristics to the classical optimization techniques for the selection of optimal portfolios. Second, the heuristic approach is applied to problems other than those in the standard mean-variance framework where the classical optimization fails.

Severe natural catastrophes in the early 1990s generated a lack of financial capacity in the catastrophe line of the global reinsurance market. The finance industry reacted to this situation by issuing innovative products designed to spread the excess risk more widely among international...

A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets fundamentals may help to make more appropriate choices. However...

In this paper we present an implementation of a Newton method based on iterative Krylov subspace methods such as GMRES, QMR and BiCGSTAB for solving large nonlinear macroeconometric models. These methods are tested for the solution of the model MULTIMOD and the computational costs of the...

Constant improvement of computing facilities creates a trend to build always larger macroeconomic models. To master these huge and complex models, much effort must be spent to investigate their functioning, mostly by means of simulations or perturbations of their original structure. Such...

Climate change affects hydropower production by modifying total annual inflow volumes and their seasonal distribution. Moreover, increasing air temperatures impact electricity consumption and, as a consequence, electricity prices. All together, these phenomena may lead to a loss in revenue. We...