• Conference Object  

      A convex programming approach to the multiobjective H2/H∞ problem 

      Djouadi, S. M.; Charalambous, Charalambos D.; Repperger, D. W. (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 ...
    • Article  

      The method of fundamental solutions for solving direct and inverse Signorini problems 

      Karageorghis, Andreas; Lesnic, D.; Marin, L. (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) ...
    • Article  

      Monitoring disruptions in financial markets 

      Andreou, Elena; Ghysels, Eric (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 ...
    • Doctoral Thesis  Open Access

      Option pricing using nonlinear constrained optimization on implied non-recombining trees 

      Constaninide, Eleni D. (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 ...