Browsing by Subject "Nonlinear programming"
Now showing items 1-4 of 4
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Conference Object
A convex programming approach to the multiobjective H2/H∞ problem
(2002)In this paper, Banach space duality theory for the multiobjective H2/H∞ problem developed recently by the authors, is used to develop algorithms to solve this problem by approximately reducing the dual and predual ...
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Article
The method of fundamental solutions for solving direct and inverse Signorini problems
(2015)Signorini problems model phenomena in which a known or unknown portion of the boundary is subjected to alternating Dirichlet and Neumann boundary conditions. In this paper, we apply the method of fundamental solutions (MFS) ...
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Article
Monitoring disruptions in financial markets
(2006)We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...
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Doctoral Thesis Open Access
Option pricing using nonlinear constrained optimization on implied non-recombining trees
(Πανεπιστήμιο Κύπρου, Σχολή Οικονομικών Επιστημών και Διοίκησης / University of Cyprus, Faculty of Economics and Management, 2008-04)Σκοπός αυτής της διατριβής είναι η δημιουργία μοντέλων για εκτίμηση των παραμέτρων ενός δυαδικού (binary) δέντρου χρησιμοποιώντας τιμές αγοράς Ευρωπαϊκών συμβολαίων δικαιωμάτων προαίρεσης (European options). Για να εκτιμήσουμε ...