208 research outputs found
Manfred Kossok, In Tyrannos. Revolutionen der Weltgeschichte. Von den Hussiten bis zur Kommune
No full textGilli Marita. Manfred Kossok, In Tyrannos. Revolutionen der Weltgeschichte. Von den Hussiten bis zur Kommune. In: Annales historiques de la Révolution française, n°288, 1992. pp. 275-276
Manfred Agethen, Geheimbund und Utopie. Illuminaten, Freimaurer und deutsche Spätaufklärung. Mit einem Geleitwort von Eberhard Schmitt. Ancien Régime, Aufklärung und Revolution
No full textGilli Marita. Manfred Agethen, Geheimbund und Utopie. Illuminaten, Freimaurer und deutsche Spätaufklärung. Mit einem Geleitwort von Eberhard Schmitt. Ancien Régime, Aufklärung und Revolution. In: Annales historiques de la Révolution française, n°261, 1985. pp. 379-380
Michael Fischer, Marita Gilli, Manfred Jochum, Anton Pelinka (éds.) : Aufklärung, Freimaurerei und Demokratie im Diskurs der Moderne., 2003
No full textMichaud Claude. Michael Fischer, Marita Gilli, Manfred Jochum, Anton Pelinka (éds.) : Aufklärung, Freimaurerei und Demokratie im Diskurs der Moderne., 2003. In: Dix-huitième Siècle, n°36, 2004. Femmes des Lumières. pp. 578-579
Säkularisation und Mediatisierung in den vier rheinischen Departements 1803-1813. Edition des Datenmaterials der zu veräussernden Nationalgüter, hg. v. Wolfgang Schieder ; datentechnisch aufbereitet v. Manfred Koltes. (Forschungen zur deutschen Sozialgeschichte, hg. v. der Historischen Kommission bei der bayerischen Akademie der Wissenschaften), Band V. Boppard am Rhein, 1991
No full textGilli Marita. Säkularisation und Mediatisierung in den vier rheinischen Departements 1803-1813. Edition des Datenmaterials der zu veräussernden Nationalgüter, hg. v. Wolfgang Schieder ; datentechnisch aufbereitet v. Manfred Koltes. (Forschungen zur deutschen Sozialgeschichte, hg. v. der Historischen Kommission bei der bayerischen Akademie der Wissenschaften), Band V. Boppard am Rhein, 1991. In: Annales historiques de la Révolution française, n°296, 1994. p. 351
Robust regression with optimisation heuristics
No full textLinear regression is widely-used in finance. While the standard method to obtain parameter estimates, Least Squares, has very appealing theoretical and numerical properties, obtained estimates are often unstable in the presence of extreme observations which are rather common in financial time series. One approach to deal with such extreme observations is the application of robust or resistant estimators, like Least Quantile of Squares estimators. Unfortunately, for many such alternative approaches, the estimation is much more difficult than in the Least Squares case, as the objective function is not convex and often has many local optima. We apply different heuristic methods like Differential Evolution, Particle Swarm and Threshold Accepting to obtain parameter estimates. Particular emphasis is put on the convergence properties of these techniques for fixed computational resources, and the techniques’ sensitivity for different parameter settings.Optimisation heuristics, Robust Regression, Least Median of Squares
Calibrating Option Pricing Models with Heuristics
No full textCalibrating option pricing models to market prices often leads to optimisation problems to which standard methods (like such based on gradients) cannot be applied. We investigate two models: Heston’s stochastic volatility model, and Bates’s model which also includes jumps. We discuss how to price options under these models, and how to calibrate the parameters of the models with heuristic techniques.
A note on ‘good starting values’ in numerical optimisation
No full textMany optimisation problems in finance and economics have multiple local optima or discontinuities in their objective functions. In such cases it is stressed that ‘good starting points are important’. We look into a particular example: calibrating a yield curve model. We find that while ‘good starting values’ suggested in the literature produce parameters that are indeed ‘good’, a simple best-of-n–restarts strategy with random starting points gives results that are never worse, but better in many cases.
Computational Methods in Financial Engineering: Essays in Honour of Manfred Gilli
No full textComputational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.
"This book collects frontier work by researchers in computational economics in a tribute to Manfred Gilli, a leading member of this community. Contributions cover many of the topics researched by Gilli during his career: portfolio optimization and option pricing, estimation and classification, as well as banking, risk and macroeconomic modeling. The editors have put together a remarkable panorama of the rapidly growing and diversifying field of computational economics and finance."
Michel Juillard, Paris School of Economics and University Paris
EMU and Portfolio Diversification Opportunities
No full textThis paper studies the impact of EMU on portfolio diversification opportunities. We find a significant increase in the correlation between stock returns, whether they are computed on the basis of market or sector indices. This is true for two definitions of the pre-convergence and convergence periods. Diversification opportunities within the Euro-area have thus been reduced. The culprit appears to be less the disappearance of currency risk than the convergence of economic structures and/or the homogenisation of economic shocks (across the Euro-15 member states). This evolution should mark the end of pure country allocation strategies within Europe. If these are the alternatives, the increased conformity of stock returns implies that international diversification does not pay: the cost of the home bias within Euroland has been lowered (in some cases to zero). Diversification across both countries and sectors, however, remains the much superior investment strategy, and, in light of this option, the cost of the home bias continues to be significant.EMU; portfolio diversification; home bias
Pour une approche structurale en économie
No full textTowards a structural approach in economics
Manfred Gilli, Gilbert Ritschahd Et Daniel Royer
The article is concerned with a general survey of various structural methods that can be applied to economic models. It first deals with the causal structures (defined by the presence or absence of variables in each relation), emphasizing and justifying the various types of recursive forms and separability properties whisch can be deduced. The scope of qualitative structures is then considered, which take into account the sign of the influence relationships among the various components of the model. In this respect, the most significant conclusions concern the classes of qualitatively linked variables.
After emphasizing the limits encountered in the analysis of these structures, the article takes up the study of linear interval structures. Various methods for exploring the geometric figures that arise from this type of structure are proposed, and the results are interpreted in term of generalized comparative static and multiple criteria analyses.L'article propose une revue d'ensemble des méthodes d'analyse structurale des modèles économiques. Il traite d'abord de l'étude des structures causales (caractérisées par la présence ou l'absence de certaines variables dans chaque relation), mettant en évidence et justifiant les différents types de formes récursives et de séparabilité qui peuvent s'en déduire. L'apport des structures qualitatives est ensuite abordé, qui tient compte du signe des relations d'influence entre les différentes composantes du modèle. En ce sens, les conclusions les plus significatives portent sur les classes de variables liées qualitativement.
Après avoir cerné les limites que rencontre l'analyse de ces deux types de structures, l'article aborde l'étude des structures linéaires par intervalle. Différentes méthodes d'exploration des figures géométriques qui s'en déduisent sont alors proposées, et les résultats obtenus sont interprétés en termes de statique comparative généralisée et d'analyse multicritère.Gilli Manfred, Ritschard Gilbert, Royer Daniel. Pour une approche structurale en économie. In: Revue économique, volume 34, n°2, 1983. pp. 277-304
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