Applying Operations Research Techniques to Financial Markets
Published Online:1 Apr 2003https://doi.org/10.1287/inte.33.2.12.14465
References
- , Trippi R. R., Turban E. Testability of the arbitrage pricing theory by neural networks. Neural Networks in Finance and Investing: Using Artificial Intelligence to Improve Real World Performance (1993) (Probus Publishing Co., Chicago, IL) 421–432Google Scholar
- Stripping coupons with linear programming. J. Fixed Income (2000) 10(2):80–87Crossref, Google Scholar
- Coherent measures of risk. Math. Finance (1999) 9(3):203–228Crossref, Google Scholar
- Operational research and financial management. Eur. J. Oper. Res. (1988) 36(2):143–152Crossref, Google Scholar
- The bond scheduling problem of the multi-subsidiary holding company. Management Sci (1982) 28(7):738–748Link, Google Scholar
- An envelopment analysis approach to measuring the managerial efficiency of banks. Ann. Oper. Res. (1993) 45(1/4):1–19Crossref, Google Scholar
- A data envelopment analysis approach to measure the mutual fund performance. Eur. J. Oper. Res. (2001) 135(3):477–492Crossref, Google Scholar
- Consistency conditions for regulatory analysis of financial institutions: A comparison of frontier efficiency methods. J. Econom. Bus. (1998) 50(2):85–114Crossref, Google Scholar
- Mortgage valuation models at Prudential Securities. Interfaces (1992) 22(1):55–71Link, Google Scholar
- Financial innovation: A linear programming approach. J. Banking Finance (1977) 1(3):277–296Crossref, Google Scholar
- Capital Ideas: The Improbable Origins of Modern Wall Street (1992) (Free Press, Macmillan Inc., New York) Google Scholar
- Optimal control of execution costs. J. Financial Markets (1998) 1(1):1–50Crossref, Google Scholar
- Optimal TIC bids on serial bond issues. Management Sci (1976) 22(11):1175–1185Link, Google Scholar
- The application of operations research to portfolio theory and investment management. (2002) London School of Economics, London, U.KMimeoGoogle Scholar
- Options: A Monte Carlo approach. J. Financial Econom. (1977) 4(3):323–338Crossref, Google Scholar
- Valuing Canadian mortgage backed securities. Financial Analysts J (1989) 45(3):55–60Crossref, Google Scholar
- Monte Carlo methods for security pricing. J. Econom. Dynamics Control (1997) 21(8–9):1267–1321Crossref, Google Scholar
- Estimating security price derivatives using simulation. Management Sci (1996) 42(2):269–285Link, Google Scholar
- Pricing American style securities using simulation. J. Econom. Dynamics Control (1997) 21(8–9):1323–1352Crossref, Google Scholar
- Constructing binomial trees from multiple implied probability distributions. J. Derivatives (1999) 7(2):83–100Crossref, Google Scholar
- The Econometrics of Financial Markets (1997) (Princeton University Press, Princeton, NJ) Crossref, Google Scholar
- Designing leveraged leases: A mixed integer linear programming approach. Financial Management (1981) 10(4):15–23Crossref, Google Scholar
- Pricing in the government bond market. Interfaces (1986) 16(5):65–71Link, Google Scholar
- Graph theoretic approaches to foreign exchange. J. Financial Quant. Anal. (1979) 14(3):481–500Crossref, Google Scholar
- Playing the turn-of-the-year effect with index futures. Oper. Res. (1987) 35(6):799–813Link, Google Scholar
- Optimal coupon schedules for municipal bonds. Management Sci (1965) 12(1):68–82Link, Google Scholar
- Optimal level debt schedules for municipal bonds. Management Sci (1966) 13(3):161–166Link, Google Scholar
- A model for designing callable bonds and its solution using tabu search. J. Econom. Dynamics Control (1997a) 21(8–9):1445–1470Crossref, Google Scholar
- , Grandinetti L., Kowalik J., Vajtersic M. High performance computing for the computer aided design of financial products. Advances in High Performance Computing (1997b) 30(Kluwer Academic Publishers, Dordrecht, The Netherlands) 273–302NATO Advanced Science Institute SeriesCrossref, Google Scholar
- Financial Theory and Corporate Policy (1988) 3rd ed.(Addison Wesley, Reading, MA)Google Scholar
- , Zenios S. A. Some financial optimization models: II. Financial engineering. Financial Optimization (1993) (Cambridge University Press, Cambridge, U.K.) 37–71Crossref, Google Scholar
- A discrete Markov chain model for valuing loan portfolios: The case of Mexican loan sales. J. Banking Finance (1998) 22(10–11):1457–1480Crossref, Google Scholar
- Pricing American stock options by linear programming. Math. Finance (1999) 9(3):229–254Crossref, Google Scholar
- , Mitra G. A financial expert decision support system. Mathematical Models for Decision Support (1988) (Springer-Verlag, Berlin, Germany) 415–440NATO Advanced Science Institute Series, Vol. F48Google Scholar
- LP valuation of exotic American options exploiting structure. J. Computational Finance (1998) 2(1):61–84Google Scholar
- Investment Under Uncertainty (1994) (Princeton University Press, Princeton, NJ) Crossref, Google Scholar
- Short-term forecasting of share prices: An information theory approach. Scottish J. Political Econom. (1968) 15:227–249(November)Crossref, Google Scholar
- Share price movements: A Markovian approach. J. Finance (1969) 24(1):49–60Google Scholar
- Competition and collusion in dealer markets. J. Finance (1997) 52(1):245–276Crossref, Google Scholar
- The use of linear programming in disentangling the bankruptcies of Al-Manakh stock market crash. Oper. Res. (1996) 44(5):665–676Link, Google Scholar
- A solution to post crash debt entanglements in Kuwait's Al-Manakh stock market. Interfaces (1997) 27(1):89–106Link, Google Scholar
- Dynamic programming applications in finance. J. Finance (1971) 26(2):473–506Crossref, Google Scholar
- Market timing: A worthwhile strategy? Omega (1992) 20(3):313–322Crossref, Google Scholar
- Note on municipal bond coupon schedules with limitations on the number of coupons. Management Sci (1972) 19(4):379–380Link, Google Scholar
- An algebra for evaluating hedge portfolios. J. Financial Econom. (1976) 3(4):403–427Crossref, Google Scholar
- How useful are implied distributions? Evidence from stock index options. J. Derivatives (2000) 7(3):83–98Crossref, Google Scholar
- The Innovest Austrian Pension Fund financial planning model (InnoALM). (2001) . Working paper, University of Economics, Vienna, AustriaGoogle Scholar
- Intelligent Systems for Finance and Business (1995) (John Wiley and Sons, Chichester, U.K) Google Scholar
- Inverse cubic law for the distribution of stock price variations. Eur. Physical J. B (1998) 3(2):139–140Crossref, Google Scholar
- Path dependent options: Extending the Monte Carlo simulation approach. Management Sci (1997) 43(11):1589–1602Link, Google Scholar
- Merton H. Miller: His contribution to financial economics. J. Finance (2001) 56(4):1183–1206Crossref, Google Scholar
- Transactions costs, extent of inefficiencies, entries and multiple wagers in a racetrack betting model. Management Sci (1985) 31(4):381–394Reprinted in Hausch, Lo, and Ziemba (1994)Link, Google Scholar
- Arbitrage strategies for cross track betting on major horse races. J. Bus. (1990a) 63(1):61–78Reprinted in Hausch, Lo, and Ziemba (1994)Crossref, Google Scholar
- Locks at the racetrack. Interfaces (1990b) 20(3):41–48Reprinted in Hausch, Lo, and Ziemba (1994)Link, Google Scholar
- Efficiency of the market for racetrack betting. Management Sci (1981) 27(12):1435–1452Reprinted in Hausch, Lo, and Ziemba (1994)Link, Google Scholar
- The Efficiency of Racetrack Betting Markets (1994) (Academic Press, San Diego, CA) Google Scholar
- , Keim D., Ziemba W. T. Anticipation of the January small firm effect in the US futures markets. Security Market Imperfections in World Wide Equity Markets (2000) (Cambridge University Press, Cambridge, U.K.) 179–202Google Scholar
- Introduction to Operations Research (2001) 7th ed.(McGraw-Hill, Boston, MA) Google Scholar
- A model for bond portfolio improvement. J. Financial Quant. Anal. (1977) 12(2):243–260Crossref, Google Scholar
- The productivity of financial intermediation and the technology of financial product management. Oper. Res. (1995) 43(6):970–982Link, Google Scholar
- , Zopounidis C. Designing callable bonds using simulated annealing. Operational Tools in the Management of Financial Risks (1998) (Kluwer Academic Publishers, Dordrecht, The Netherlands) 177–196Crossref, Google Scholar
- A non-parametric approach to pricing and hedging derivative securities via learning networks. J. Finance (1994) 49(3):851–889Crossref, Google Scholar
- Option-implied risk-neutral distributions and implied binomial trees: A literature review. J. Derivatives (1999) 7(2):66–82Crossref, Google Scholar
- Recovering probability distributions from options prices. J. Finance (1996) 51(5):1611–1631Crossref, Google Scholar
- Quasi-Monte Carlo methods in numerical finance. Management Sci (1996) 42(6):926–938Link, Google Scholar
- Comparison of alternative utility functions in portfolio selection problems. Management Sci (1983) 29(11):1257–1276Link, Google Scholar
- Keim D. B., Ziemba W. T.Security Market Imperfections in Worldwide Equity Markets (2000) (Cambridge University Press, Cambridge, U.K) Google Scholar
- The Management of Corporate Financial Assets: Applications of Mathematical Programming Models (1987) (Academic Press, London, U.K) Google Scholar
- The bond refunding decision in an efficient market. J. Financial Quant. Anal. (1973) 8(5):793–806Crossref, Google Scholar
- Optimal lease structuring at GE. Interfaces (1994) 24(3):34–45Link, Google Scholar
- Extreme returns, downside risk and optimal asset allocation. J. Portfolio Management (1998) 25(1):71–79Crossref, Google Scholar
- Cost efficiency in the Australian over-the-counter financial markets: An empirical examination. (2001) . Working paper, University of New South Wales, AustraliaGoogle Scholar
- , Howison S. D., Kelly F. P., Wilmott P. Influence of mathematical models in finance on practice: Past, present and future. Mathematical Models in Finance (1995) (Chapman and Hall, London, U.K.) 1–13Google Scholar
- , Geman H., Madan D., Pliska S., Vorst T. Future possibilities in finance theory and finance practice. Mathematical Finance—Bachelier Congress 2000: Selected Papers from the First World Congress of the Bachelier Finance Society (2002) (Springer Finance, Heidelberg, Germany) Google Scholar
- The Econometric Modelling of Financial Time Series (1999) 2nd ed.(Cambridge University Press, Cambridge, U.K) Crossref, Google Scholar
- CreditMetrics™ (1997) (Morgan Guarantee Trust Company, New York) . technical documentGoogle Scholar
- . RiskMetrics™ (1996) (Morgan Guarantee Trust Company, New York) . technical documentGoogle Scholar
- , Lawrence K. D., Guerard J. B., Reeves G. R. Nonlinear network models in finance. Advances in Mathematical Programming and Financial Planning (1987) 1(JAI Press, Greenwich, CT) 253–271Google Scholar
- Stochastic network programming for financial planning problems. Management Sci (1992) 38(11):1642–1664Link, Google Scholar
- Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach. Eur. J. Oper. Res. (1997) 98(2):408–418Crossref, Google Scholar
- Do price limits behave like magnets? (2002) . Working paper, London Business School, London, U.KGoogle Scholar
- True interest cost in municipal bond bidding: An integer programming approach. Management Sci (1986) 32(7):870–877Link, Google Scholar
- Minimizing net interest cost in municipal bond bidding. Management Sci (1981) 27(4):365–376Link, Google Scholar
- Market Microstructure Theory (1995) (Blackwell Business, Cambridgem, MA) Google Scholar
- , Michael, Dempster A. H., Pliska S. R. New methodologies for valuing derivatives. Mathematics of Derivative Securities (1997) (Cambridge University Press, Cambridge, U.K.) 545–582Google Scholar
- Paxon D., Wood D.The Blackwell Encyclopaedic Dictionary of Finance (1997) 8(Blackwell Publishers, Oxford, U.K) Google Scholar
- The application of linear programming to competitive bond bidding. Econometrica (1956) 24(4):413–428Crossref, Google Scholar
- A game theoretic model of corporate takeovers by major stockholders. Management Sci (1987) 33(4):467–483Link, Google Scholar
- Evaluating value at risk methodologies: Accuracy versus computational time. J. Financial Services Res. (1997) 12(2–3):201–242Crossref, Google Scholar
- A multi-objective programming technique for structuring tax-exempt serial revenue debt issues. Management Sci (1992) 38(8):1186–1200Link, Google Scholar
- Neural Networks in the Capital Markets (1995) (John Wiley and Sons, Chichester, U.K) Google Scholar
- On option pricing bounds. J. Finance (1985) 40(4):1219–1233Crossref, Google Scholar
- Implied volatility functions: A reprise. J. Derivatives (2000) 7(3):51–64Crossref, Google Scholar
- Implied binomial trees. J. Finance (1994) 49(3):771–818Crossref, Google Scholar
- The calculation of minimum margin. Management Sci (1982) 28(12):1368–1379Link, Google Scholar
- A simple model to estimate bounds on total market gains and losses for a particular stock. Interfaces (1987) 17(5):43–50Link, Google Scholar
- Risk arbitrage in the Nikkei put warrant market of 1989–1990. Appl. Math. Finance (1995) 2(4):243–271Crossref, Google Scholar
- Operations research analysis of a stock market problem. Comput. Oper. Res. (1991) 18(7):597–602Crossref, Google Scholar
- Simulating financial prices. J. Oper. Res. Soc. (1989) 40(6):567–569Google Scholar
- Neural Networks in Finance and Investing: Using Artificial Intelligence to Improve Real World Performance (1993) (Probus Publishing Co., Chicago, IL) Google Scholar
- Optimal timing of bond refunding. Management Sci (1967) 13(7):511–524Link, Google Scholar
- Municipal bond coupon schedules with limitations on the number of coupons. Management Sci (1972) 19(4):369–378Link, Google Scholar
- Neural network applications in finance: A review and analysis of literature (1990–1996). Inform. Management (1998) 34(3):129–139Crossref, Google Scholar
- , Zenios S. A. Parallel Monte Carlo simulation of mortgage backed securities. Financial Optimization (1993) (Cambridge University Press, Cambridge, U.K.) 325–343Crossref, Google Scholar
- World wide security market regularities. Eur. J. Oper. Res. (1994a) 74(2):198–229Crossref, Google Scholar
- Investing in the turn of the year effect in the United States futures markets. Interfaces (1994b) 24(3):46–61(A story about this paper is in the December 14, 1990 issue of theWall Street Journal.)Link, Google Scholar
- Mortgages and Markov chains: A simplified evaluation model. Management Sci (1993) 39(6):683–691Link, Google Scholar
- Application of the fuzzy-stochastic methodology to appraising the firm value as a European call option. Eur. J. Oper. Res. (2001) 135(2):303–310Crossref, Google Scholar

