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network models

our papers and notes with friends

Network Models

The Design of Corporate Tax Structures
Simon Christofides, Alexander Christofides, Nicos Christofides
Centre for Quantitative Finance, Imperial College, London SW7 2BX
January 2003

Worst-Case Value-at-Risk for Risk Management
Executive Report
Nicos Christodes, Berç Rustem and Steve Zymler
October 16, 2009

Distributionally Robust Value-at-Risk
Executive Report
Nicos Christodes, Berç Rustem and Steve Zymler
January 14, 2010

Merrill Lynch London Equity Derivatives
Option Theory
Nicos Christofides

11 June 2003

Robust Portfolio Optimization with Copulas
Iakovos Kakouris, Nicos Christofides, Berc Rustem
June 22, 2012

Risk Exchange With Distorted Probabilities
Andreas Tsanakas and Nicos Christofides

2006

Implied non-recombining trees and calibration for the volatility smile
Chris Charalambous,, Nicos Christofides,
E Constantinide and Spiros Martzoukos

5 May 2007)

A simplified Real Options (RO) valuation of an oil field
Nicos Christofides
Network Models
March 2010

Independent components and hybrid models for asset prices

Nicos Christofides, Maurice Klajman, Alexander Christofides
Centre for Quantitative Finance, Imperial College, London SW7 2BX
September 2003

Using the regime-switching model in forecasting
Nicos Christofides, Alexander Christofides, Simon Christofides
Network Models
September 2012

An algorithm for company valuation
Alexander Christofides
EU IST Programme: EUROSIGNAL Project: Deliverable D3.4
May 2004

Methodologies for modelling financial assets ∗
Alexander Christofides
EU IST Programme: EUROSIGNAL Project: Deliverable D3.2
June 2002

Improved Sobol low-discrepancy sequences and financial applications
A.deMesquita, A.Christofides and N.Christofides
November 1999

Fund management using dynamic programming,
nonlinear independent-components and state-space mapping forecasts
Nicos Christofides
September 2008

Heuristic Techniques in Tax Structuring for Multinationals
D Fatouros, G Salkin, N Christofides
Centre for Quantitative Finance Imperial College
February 19, 1996

Modelling and Managing Risk

Nicos Christofides Alexander Christofides & Simon Christofides

June 2009

An LP formulation for portfolio optimization
Nicos Christofides, Alexander Christofides, Simon Christofides
Centre for Quantitative Finance, Imperial College, London
June 2007

A tree search algorithm for the p-median problem
N. Christofides and J.E. Beasley

February 198 I

Exact Methods for Solving Large-Scale Dynamic Portfolio Optimization Problems
R. Baldacci, M. Boschetti, N. Christofides, S. Christofides
April 2003

Optimizing the Omega ratio using linear programming
Michalis Kapsos, Steve Zymler,, Nicos Christofides, Berç Rustem

November 4, 2011

Notes on Neural Networks for forecasting
Nicos Christofides
October 2009

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