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Institute for Operations Research and Computational Finance (ior/cf-HSG)

title  
 
conference paper
Frauendorfer, K. (2000). Stochastic Multistage Programming in the Operation and Management of a power system. In Stochastic Optimization Techniques: Numerical Methods and Technical Applications; Lecture Notes in Economics and Mathematical System, Vol. 513, pp.199-222. Berlin, DE: Springer-Verlag. - ISBN 3-540-42889-5.
   
Frauendorfer, K., & Ostermaier, G. (1999). Stochastic Optimization in Dispatching of Complex Power Systems. In Energiesymposium Ossiach 1999, Forschung im Verbund, Schriftenreihe Band 61. Wien, AT: Österreichische Elektrizitätswirtschaft Aktiengesellschaft.
   
Forrest, B., Frauendorfer, K., & Schürle, M. (1997). A Stochastic Optimization Model for the Investment of Savings Account Deposits. In Operations Research Proceedings 1997, pp.382-387. Berlin, DE: Springer-Verlag. - ISBN 3-540-64240-4.
   
Frauendorfer, K., & Gaese, R. (1997). Linear Duality, Term Structure, and Valuation. In Operations Research Proceedings 1997, pp.13-18. Berlin, DE: Springer-Verlag. - ISBN 3-540-64240-4.
   
Frauendorfer, K., & Marohn, C. (1996). Refinement Issues in Stochastic Multistage Linear Programming. In Stochastic Programming Methods and Technical Applications; Lecture Notes in Economics and Mathematical Systems, Vol. 458, pp.305. Berlin, DE: Springer-Verlag. - ISBN 3-540-63924-1.
   
Frauendorfer, K. (1995). The Stochastic Programming Extension of the Markowitz Approach. In Neural Network World - International Journal on Neural and Mass-Parallel computing and Information Systems, pp.449-460. Prag, CZ: Institute of Information and Computer Technology ASCR; Faculty of Transport, Czech Polytechnic University, Prague.
   
Frauendorfer, K., Härtel, F., Reiff, M. F., & Schürle, M. (1995). SG-Portfolio Test Problems for Stochastic Multistage Linear Programming. In Operations Research Proceedings 1995, pp.102-107. Berlin, DE: Springer-Verlag. - ISBN 3-540-60806-0.
   
discussion paper
Schwendener, A. (2006). Regime-Switching-Modell für die Schätzung von Marktdynamiken.
   
working paper
Kiesel, R., & Paraschiv, F., SoF - HSG (Eds.), (2015). Econometric Analysis of 15-Minute Intraday Electricity Prices. School of Finance Working Paper Series. St. Gallen: SoF - HSG.
   
Frauendorfer, K., Paraschiv, F., Aepli, M. D., & Füss, R., SoF-HSG (Eds.), (2015). Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation. School of Finance Working Paper Series.
   
Gutsche, R. (2014). The IFRS Impact on 'legal' Financial Statements in German speaking Countries (D/CH/A).
   
Paraschiv, F., & Qin, M. (2013). Extreme spillover between shadow banking and regular banking: Working Papers on Finance No. 2013/12, University of St. Gallen, School of Finance..
   
Gutsche, R. (2012). Benchmarking Rating Quality.
   
Gutsche, R. (2012). The 'Control Concept' and the 'Economic Substance' in Business Combinations: A theoretical and empirical evaluation of FASB/IASB concepts for business combinations.
   
Gutsche, R. (2010). Normative Research in Accounting: Requirements, Findings and Critique.
   
Gutsche, R. (2010). Reverse Acquisitions: Between 'Substance Over Form' and the Management of Hidden Reserves.
   
Paraschiv, F., & Schürle, M., ior/cf (Eds.), (2010). Modeling client rate and volumes of non-maturing accounts. Working Paper Series: Universität St. Gallen.
   
Gutsche, R., Freie Universität Berlin (Eds.), (2008). Audit Adjustments: Darstellung, Systematisierung und Würdigung empirischer Studien. Diplomarbeit.
   
Kuhn, D., Parpas, P., & Rustem, B. (2007). Dynamic Mean-Variance Portfolio Analysis under Model Risk.
   
Bloechlinger, L., ior/cf-HSG, University of St. Gallen (Eds.), (2007). BIT@EPI.DYNAMICS: Estimation Procedures for the Price Model.
   
Kuhn, D. (2007). An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time.
   
Bloechlinger, L., Haarbrücker, G., & Liebenberger, C., ior/cf-HSG, University of St. Gallen (Eds.), (2007). BIT@EPI.VPP: A Software Package for the Valuation of Energy Contracts - User Manual.
   
Bloechlinger, L., Haarbrücker, G., & Kuhn, D., ior/cf-HSG, University of St. Gallen (Eds.), (2007). BIT@EPI.VPP: A Software Package for the Valuation of Energy Contracts - Mathematical Documentation.
   
Bloechlinger, L., Haarbrücker, G., & Kuhn, D., ior/cf-HSG, University of St. Gallen (Eds.), (2007). BIT@EPI.HYDRO: A Software Tool for the Optimization of Hydro Power Plants.
   
Bloechlinger, L., ior/cf-HSG, University of St. Gallen (Eds.), (2007). Calibration of the Pilipovic Dynamics (Management Summary).
   
Frauendorfer, K., & Vinarsky, A., ior/cf-HSG, University of St. Gallen (Eds.), (2007). Risk Measurement in Electricity Markets.
   
Kuhn, D., & Luenberger, D. G. (2006). Analysis of the Rebalancing Frequency in Log-Optimal Portfolio Selection.
   
Haarbrücker, G., & Kuhn, D., ior/cf-HSG (Eds.), (2006). Valuation of Electricity Swing Options by Multistage Stochastic Programming.
   
Bloechlinger, L., Haarbrücker, G., & Frauendorfer, K., ior/cf-HSG (Eds.), (2006). Vertragsbewertung in der Stromwirtschaft unter Anwendung der stochastischen Optimierung.
   
Haarbrücker, G. (2002). Sequences of Barycentrically Discretized Multistage Stochastic Linear Programs: Accuracy Evolution within Financial Applications. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Haarbrücker, G. (2000). Stochastische Programmierung: Eine Einführung mit Anwendungsbeispielen aus dem Fixed-Income Management. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Schmid, O. (2000). Combining the barycentric approximation with decomposition schemes to solve multistage stochastic programs. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Haarbrücker, G. (1999). Solving a Sequence of successively discretized Multistage Stochastic Linear Programs. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Haarbrücker, G. (1999). Generalized Barycenters of Cross Simplices: An illustrative Approach. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., Eggers, R., & Jeromin, A. (1999). Mehrstufige stochastische Optimierung im Fixed-Income-Management, WP (1999). St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
(1999). Stochastische Optimierung von Stromprodukten und -handel in wettbewerbsorientierten Energiemärkten. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., Siede, H., & Steiner, D. (1998). Strategische Asset Allocation. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., & Siede, H. (1998). Mehrstufige Erwartungswert-Varianz-Analyse. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., & Siede, H. (1998). Time Series Models in Intertemporal Portfolio Optimisation. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K. (1998). Stochastische Optimierung in der Kraftwerkseinsatzplanung. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., & Glavitsch, H. (1998). Stochastische Netzwerkoptimierung: Anwendung im Energiemanagement und auf elektronischen Märkten. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., Eggers, R., & Jeromin, A. (1998). Dynamische Finanzierungsstrategien - Herausforderungen an das quantitative Management. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K. (1998). Ein integrierter Modellansatz für mehrstufige stochastische Optimierung in der Kraftwerkseinsatzplanung. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Schmid, O. (1998). Modellierung des Cash Management Problems. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
(1998). Umsetzung der Optimierung auf Grundlage von baryzentrischer Approximationen im Softwarepaket SOAL und Möglichkeiten der Wiederverwendung für Modelle in der Energiewirtschaft. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., Moix, P. Y., & Schmid, O. (1997). Approximations of Profit-and-Loss Distributions (Management Version). St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., & Siede, H. (1997). Mean-Variance Analysis in a Multiperiod Setting. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., & Gaese, R. (1997). Inflecting No-Arbitrage in Terms of Linear Duality. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., & Schmid, O. (1997). Cash Management mittels stochastischer Optimierung. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
working report
Frauendorfer, K. (2008). DEVA+ (Dynamic Expectation Variance Analysis), Product Description: ior/cf-HSG, University of St. Gallen.
   
Frauendorfer, K., Schwendener, A., & Axel, M. (2008). Modeling Price Dynamics of Energy and Other Commodities Using the Pilipovic Simulator (Management Summary).
   
(2005). BIT@EPI.PFO: A Software Tool for the Portfolio Optimization of an Energy Provider.
   
Frauendorfer, K., Moix, P. Y., & Schmid, O. (1997). Approximations of Profit-and-Loss Distributions (Part II): working report. Risklab report. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
Frauendorfer, K., & Königsperger, E. (1995). Approximations of Profit-and-Loss Distributions (A Numerical Approach for Evaluating VaR based on Extremal Measures): working report. Risklab report. St. Gallen, CH: Institute for Operations Research, University of St. Gallen.
   
article
Gutsche, R. (2015). Trading Room at HSG: Interview with Robert Gutsche by Gordon Langlois (author): The trading room: to risk or not to risk. HSG Fokus, 4(2015), 2.
   
Gutsche, R. (2015). Accounting for Value, quo vadis?. Alma : das Alumni-Magazin der Universität St. Gallen, 4(14), 15.
   
(2006). Verteilungsbasiertes Risikomanagement im Stromhandel. e|m|w Zeitschrift für Energie, Markt, Wettbewerb, 1, 64-68.
   
Bloechlinger, L. (2005). Praktische Einsatzmöglichkeiten mehrstufiger stochastischer Optimierung im Portfoliomanagement. Optimierung in der Energiewirtschaft: VDI Berichte 1908, 53-64.
   
Frauendorfer, K., Fiedler, R., & Schürle, M. (2005). Systematische Steigerung von Erträgen aus Bodensatzprodukten. Betriebswirtschaftliche Blätter, 5, 257-259.
   
Frauendorfer, K., Fiedler, R., & Schürle, M. (2004). Ertragspotenziale sichern. Geldinstitute, 4(35), 10-13.
   
Frauendorfer, K., Schürle, M., & Fiedler, R. (2004). Dynamic Management of Core Deposits. Banking and Finance(3), 19-23.
   
Frauendorfer, K., & Schürle, M. (2003). Modellrisiko konventioneller Ansätze - Margen verbessern. Schweizer Bank, 11(18), 34-36.
   
Frauendorfer, K., Schiltknecht, H., & Schürle, M. (1999). Ein anderer Weg zur Haushaltsanierung: Einsparmöglichkeiten durch modernes Finanzmanagement. Neue Zürcher Zeitung(112), 25.
   
presentation
Paraschiv, F. (2015). A fully parametric approach for solving quantile regressions with time-varying coefficients. Presented at Energy Finance Christmas Workshop, Paris.
   
Paraschiv, F. (2015). A fully parametric approach for solving quantile\\ regressions with time-varying coefficients. Presented at Operations Research 2015, Vienna.
   
Schürle, M., Paraschiv, F., & Kovacevic, R. (2015). Optimization of hydro storage systems and indifference pricing of power contracts. Presented at Energy Finance Conference 2015, London, Cass Business School.
   
Schürle, M., Paraschiv, F., & Kovacevic, R. (2015). Optimization of hydro storage systems and indifference pricing of power contracts. Presented at International Conference on Operations Research 2015, Vienna.
   
Paraschiv, F. (2015). Optimization of hydro storage systems and indifference pricing of power contracts. Presented at Workshop, CAS, Oslo.
   
Schürle, M., Paraschiv, F., & Fleten, S. E. (2015). A spot-forward model for electricity prices with regime shifts. Presented at Workshop on Stochastic Models, Statistics and their Application, Wroclaw (Poland).
   
Schürle, M., & Kovacevic, R. (2015). Optimization of hydro storage systems and indifference pricing of power contracts. Presented at Workshop on Stochastic Models, Statistics and their Application, Wroclaw, Poland.
   
Schürle, M., Paraschiv, F., & Fleten, S. E. (2014). A spot-forward model for electricity prices. Presented at 20th Conference of the International Federation of Operational Research Societies, Barcelona.
   
Paraschiv, F. (2014). The impact of renewable energies on EEX day-ahead electricity prices. Presented at Energy Finance Conference 2014, Erice, Italy.
   
Paraschiv, F. (2014). Stress-testing for portfolios of commodities: 5th International Disaster and Risk Conference IDRC 2014, Davos.
   
Paraschiv, F. (2014). Medium-term planning for thermal electricity production. Presented at invited talk, Imperial College.
   
Paraschiv, F. (2014). Stress-testing for portfolios of commodities. Presented at 11th International Conference on Computational Management Science, Lisbon.
   
Schürle, M., & Paraschiv, F. (2014). The impact of renewable energies on EEX day-ahead electricity prices. Presented at 11th International Conference on Computational Management Science, Lisbon.
   
Frauendorfer, K., Haarbrücker, G., Liebenberger, C., Graeber, D., Wolpert, J., & Wach, J. (2014). Kostensenkungspotenzial beim Handel mit Strom aus erneuerbaren Energien durch mathematische Optimierungsmodelle. Presented at Jahrestagung der Wissenschaftlichen Kommission Operations Research im Verband der Hochschullehrer für Betriebswirtschaft, Stuttgart.
   
Gutsche, R. (2013). Determinants of M&A activity and Control Concept: Firm characteristics as economic indicators for control in business combinations, Bocconi University, Milan, Italy.
   
Gutsche, R. (2013). Determinants of M&A activity and Control Concept: Firm characteristics as economic indicators for control in business combinations, Universität der Bundeswehr, München, Germany.
   
Paraschiv, F. (2013). Spot-forward simulation of electricity prices with regime shifts, 3rd Energy Finance Christmas Workshop Oslo.
   
Schürle, M., & Paraschiv, F. (2013). Price dynamics in gas markets. Presented at Conference Energy Finance 2013, Essen.
   
Paraschiv, F. (2013). Medium-term planning for thermal electricity production. Presented at International Conference in Stochastic Programming, Bergamo, 2013.
   
Paraschiv, F., & Schürle, M. (2013). Price dynamics in electricity spot markets. Presented at International Conference on Stochastic Programming, Bergamo, 2013.
   
Gutsche, R. (2012). Valuation of Professional Service Firms, University of St.Gallen, St.Gallen, Switzerland.
   
Gutsche, R. (2012). Determinants of M&A activity and Control Concept: Firm characteristics as economic indicators for control in business combinations, Columbia University, New York, USA.
   
Gutsche, R. (2012). Determinants of M&A activity and Control Concept: Firm characteristics as economic indicators for control in business combinations, Ruhr-Universität Bochum, Bochum, Germany.
   
Paraschiv, F. (2012). Modeling negative electricity prices. Presented at International Symposium in Mathematical Programming, Berlin, 2012.
   
Paraschiv, F. (2011). Modeling client rate and volumes of non-maturing accounts. Presented at Operations Research Conference, Zürich, Aug. 2011.
   
Paraschiv, F. (2010). Modeling the rigidity of client rate for non-maturing accounts. Presented at Computational Management Science Conference, 2010, Vienna.
   
Gutsche, R. (2010). Determinants of 'Reverse Acquisitions' - Evidence for Economic Substance over Legal Form?, An Empirical Investigation. Presented at Hearing - Junior Professor at the Freie Universität Berlin, Berlin, Germany.
   
Gutsche, R. (2009). A Framework for Rating Quality. Presented at Doctoral Colloquium, University of St.Gallen, St.Gallen, Switzerland.
   
Paraschiv, F. (2009). Modeling client rate and volumes of non-maturing savings accounts. Presented at Computational Management Science Conference, Geneva, 2009.
   
Gutsche, R. (2008). Audit Quality and Risk-based Auditing: A review of archival error studies, ETH, Zürich, Switzerland.
   
Gutsche, R. (2008). Normative Research in Accounting: Requirements, Findings and Critique. Presented at Doctoral Colloquium.
   
Frauendorfer, K., Haarbrücker, G., & Schwendener, A. (2007). Valuation and Bidding of Hydro Power Plants in the EEX. Presented at 5th IBM Swiss OR Days, Zürich.
   
 
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*citation format: APA 5