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Manfred Gilli

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This is information that was supplied by Manfred Gilli in registering through RePEc. If you are Manfred Gilli , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Manfred
Middle Name:
Last Name: Gilli
Suffix:

RePEc Short-ID: pgi21

Email:
Homepage: http://www.unige.ch/ses/metri/gilli/
Postal Address: Department of Economics University of Geneva Bd du Pont d'Arve 40 1211 Geneva 4 Switzerland
Phone: +41227058222

Affiliation

Geneva School of Economics and Management
Université de Genève
Location: Genève, Switzerland
Homepage: http://www.unige.ch/gsem/
Email:
Phone: (+ 41 22) 705-8263
Fax: (+ 41 22) 705-8293
Postal: 40 Blv du Pont d'Arve - 1211 Geneva 4
Handle: RePEc:edi:depgech (more details at EDIRC)

Works

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Working papers

  1. Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.
  2. Manfred Gilli & Enrico Schumann, 2010. "A note on ‘good starting values’ in numerical optimisation," Working Papers 044, COMISEF.
  3. Manfred GILLI & Enrico SCHUMANN & Gerda CABEJ & Jonela LULA, 2010. "Replicating Hedge Fund Indices with Optimization Heuristics," Swiss Finance Institute Research Paper Series 10-22, Swiss Finance Institute.
  4. Manfred Gilli & Stefan Große & Enrico Schumann, 2010. "Calibrating the Nelson–Siegel–Svensson model," Working Papers 031, COMISEF.
  5. Manfred Gilli & Enrico Schumann, 2009. "Implementing Binomial Trees," Working Papers 008, COMISEF.
  6. Manfred GILLI & Enrico SCHUMANN, 2009. "An Empirical Analysis of Alternative Portfolio Selection Criteria," Swiss Finance Institute Research Paper Series 09-06, Swiss Finance Institute.
  7. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
  8. Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.
  9. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
  10. Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
  11. Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Swiss Finance Institute Research Paper Series 07-01, Swiss Finance Institute.
  12. M. Gilli & E. Kellezi & H. Hysi, 2006. "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Computing in Economics and Finance 2006 355, Society for Computational Economics.
  13. M. Gilli & I. Roko, 2005. "Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches," Computing in Economics and Finance 2005 338, Society for Computational Economics.
  14. M. Gilli & C. Chiarella & J. Dewynne, 2003. "Issues in Evaluating Multifactor Options in a PDE Framework," Computing in Economics and Finance 2003 110, Society for Computational Economics.
  15. Joseph Andria & Manfred Gilli, 2002. "Pricing and hedging options in incomplete markets," Computing in Economics and Finance 2002 163, Society for Computational Economics.
  16. Manfred Gilli & Nicolas Roth, 2002. "A Heuristic Technique for Model Selection Problems," Computing in Economics and Finance 2002 365, Society for Computational Economics.
  17. Manfred Gilli and Evis Kellezi, 2001. "Threshold Accepting for Index Tracking," Computing in Economics and Finance 2001 72, Society for Computational Economics.
  18. Winmker, P. & Gilli, M., 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers 38, Manitoba - Department of Economics.
  19. Evis Këllezi & Manfred Gilli, 2000. "Extreme Value Theory for Tail-Related Risk Measures," FAME Research Paper Series rp18, International Center for Financial Asset Management and Engineering.
  20. Manfred Gilli, Evis Kellezi, 2000. "Heuristic Approaches For Portfolio Optimization," Computing in Economics and Finance 2000 289, Society for Computational Economics.
  21. Manfred Gilli & Evis Këllezi, 2000. "A Heuristic Approach to Portfolio Optimization," FAME Research Paper Series rp20, International Center for Financial Asset Management and Engineering.
  22. Manfred Gilli & Kai Hencken & Philippe Huber and Evis Kellezi & Matthias Kroedel & Giorgio Pauletto, 1999. "Numerical Methods in Multivariate Option Pricing," Computing in Economics and Finance 1999 914, Society for Computational Economics.
  23. Louberge, H. & Kellezi, E. & Gilli, M., 1999. "Using Catastrophe-Linked Securities to Diversify Insurance Risk: a Financial Analysis of Cat Bonds," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 99.04, Institut d'Economie et Econométrie, Université de Genève.
  24. Wallart, N. & Burgenmeier, B., 1994. "L'acceptable des taxes incitatives en Suisse," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 94.06, Institut d'Economie et Econométrie, Université de Genève.
  25. Manfred Gilli & Giorgio Pauletto, 1994. "High Performance Computing in Economics: SP1 for Macroeconomic Model Simulation," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 94.01, Institut d'Economie et Econométrie, Université de Genève.
  26. Manfred Gilli & Myriam Garbely, 1993. "Matchings, Covers, and Jocobian Matrices," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 93.08, Institut d'Economie et Econométrie, Université de Genève.
  27. Manfred Gilli & Giorgio Pauletto, 1993. "Econometric Model Simulation on Parallel Computers," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 93.07, Institut d'Economie et Econométrie, Université de Genève.
  28. Myriam Garbely & Manfred Gilli, 1989. "Relevant Coefficients for the Dynamic Properties of a Model a Qualitative Method," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 89.06, Institut d'Economie et Econométrie, Université de Genève.
  29. Giampiero M. Gallo & Manfred Gilli, 1988. "How To Strip A Model To Its Essential Elements," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 88.06, Institut d'Economie et Econométrie, Université de Genève.
  30. Ilir Roko & Manfred Gilli, . "Using Economic and Financial Information for Stock Selection," Swiss Finance Institute Research Paper Series 06-21, Swiss Finance Institute.
  31. Manfred Gilli & Enrico Schumann, . "Distributed Optimisation of a Portfolio's Omega," Swiss Finance Institute Research Paper Series 08-17, Swiss Finance Institute.
  32. Manfred Gilli & Giorgio Pauletto, . "An Application of Nonstationary Iterative Methods for Solving a Multi-Country Model with Rational Expectations," Computing in Economics and Finance 1996 _045, Society for Computational Economics.
    RePEc:fth:geneec:99.01 is not listed on IDEAS
  33. Manfred Gilli & Giorgio Pauletto, . "Practical Results on Parallel Methods for Solving Forward-Looking Models," Computing in Economics and Finance 1997 66, Society for Computational Economics.
  34. Manfred GILLI & Enrico SCHUMANN & Giacomo DI TOLLO & Gerda CABEJ, . "Constructing Long/Short Portfolios with the Omega ratio," Swiss Finance Institute Research Paper Series 08-34, Swiss Finance Institute.

Articles

  1. Gilli, Manfred & Schumann, Enrico, 2010. "Optimization in financial engineering - an essay on 'good' solutions and misplaced exactitude," Journal of Financial Transformation, Capco Institute, vol. 28, pages 117-122.
  2. Gatu, Cristian & Kontoghiorghes, Erricos J. & Gilli, Manfred & Winker, Peter, 2008. "An efficient branch-and-bound strategy for subset vector autoregressive model selection," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1949-1963, June.
  3. I. Roko & M. Gilli, 2008. "Using economic and financial information for stock selection," Computational Management Science, Springer, vol. 5(4), pages 317-335, October.
  4. Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An objective function for simulation based inference on exchange rate data," Journal of Economic Interaction and Coordination, Springer, vol. 2(2), pages 125-145, December.
  5. Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 2-3, September.
  6. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Society for Computational Economics, vol. 27(2), pages 207-228, May.
  7. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
  8. Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 299-312, March.
  9. Gilli, Manfred & Kellezi, Evis & Pauletto, Giorgio, 2002. "Solving finite difference schemes arising in trivariate option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1499-1515, August.
  10. Giorgio Pauletto & Manfred Gilli, 2000. "Parallel Krylov Methods for Econometric Model Simulation," Computational Economics, Society for Computational Economics, vol. 16(1/2), pages 173-186, October.
  11. Henri Louberge & Evis Kellezi & Manfred Gilli, 1999. "Using Catastrophe-Linked Securities to Diversity Insurance Risk: A Financial Analysis of Cat Bonds," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 22(2), pages 125-146.
  12. Gaspard Aeschimann & Gabrielle Antille & Fabrizio Carlevaro & Jean-Paul Chaze & Giovanni Ferro-Luzzi & Yves Flückiger & Manfred Gilli, 1999. "Modelling and forecasting the social contributions to the Swiss Old Age and Survivor Insurance scheme," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 135(III), pages 349-368, September.
  13. Gilli, Manfred & Pauletto, Giorgio, 1998. "Krylov methods for solving models with forward-looking variables," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1275-1289, August.
  14. Gilli, Manfred & Pauletto, Giorgio, 1997. "Sparse direct methods for model simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1093-1111, June.
  15. Gilli, Manfred & Garbely, Myriam, 1996. "Matchings, covers, and Jacobian matrices," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1541-1556.
  16. Gilli, M & Pauletto, G & Garbely, M, 1992. "Equation Reordering for Iterative Processes--A Comment," Computer Science in Economics & Management, Society for Computational Economics, vol. 5(2), pages 147-53, May.
  17. Gilli, Manfred, 1992. "Causal Ordering and Beyond," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(4), pages 957-71, November.
  18. Garbely, Myriam & Gilli, Manfred, 1991. "Qualitative decomposition of the eigenvalue problem in a dynamic system," Journal of Economic Dynamics and Control, Elsevier, vol. 15(3), pages 539-548, July.
  19. Gallo, Giampiero M & Gilli, Manfred H, 1990. "How to Strip a Model to Its Essential Elements," Computer Science in Economics & Management, Society for Computational Economics, vol. 3(2), pages 199-214.
  20. Garbely, M & Gilli, M, 1990. "On the Number of Nonzero Eigenvalues of a Dynamic Linear Econometric Model: A Comment," Empirical Economics, Springer, vol. 15(1), pages 99-104.
  21. Gilbert Ritschard & Daniel Royer & Manfred Gilli, 1983. "Pour une approche structurale en économie," Revue Économique, Programme National Persée, vol. 34(2), pages 277-304.
  22. Gilli, M & Ritschard, G, 1978. "A Program for Causal and Qualitative Analysis of Economic," Econometrica, Econometric Society, vol. 46(2), pages 477-78, March.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2010-04-11
  2. NEP-CMP: Computational Economics (6) 2009-12-05 2009-12-05 2010-03-20 2010-04-11 2010-10-16 2011-04-16. Author is listed
  3. NEP-ECM: Econometrics (2) 2007-10-20 2009-12-05
  4. NEP-FMK: Financial Markets (1) 2011-04-16
  5. NEP-IFN: International Finance (1) 2007-10-20
  6. NEP-MST: Market Microstructure (1) 2007-10-20
  7. NEP-ORE: Operations Research (4) 2009-12-05 2009-12-05 2009-12-05 2010-03-20. Author is listed
  8. NEP-RMG: Risk Management (2) 2009-06-03 2011-04-16

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