Research papers: (available at SSRN)

• Predicting Risk in a Multiple Stimulus-Reward Environment, ( with M. d'Acremont and P. Boessaert)
• Constructing Long/Short Portfolios with the Omega Ratio, (with E. Schumann, G. di Tollo and G. Cabej)
• Heuristic Optimisation in Financial Modelling, (with E. Schumann)
• Distributed Optimisation of a Portfolio's Omega, (with E. Schumann)
• A Review of Heuristic Optimization Methods in Econometrics, (with P. Winker)
  
• An Objective Function for Simulation Based Inference on Exchange Rate Data, (with P. Winker and V. Jeleskovic)
• Indirect Estimation of the Parameters of Agent Based Models of Financial Markets, (with P. Winker),
  

Articles

• Using economic and financial information for stock selection, Computational Management Science 5 (2008) 317-335, (with I. Roko), available at SSRN
• A Data-Driven Optimization Heuristic for Downside Risk Minimization, The Journal of Risk 8 (3) (2006) 1-18, (with E. Këllezi and H. Hysi), available at SSRN
• An Application of Extreme Value Theory for Measuring Financial Risk, Computational Economics 27(2-3) (2006) 207-228, (with E. Këllezi).  [ PDF ]  [ Download Data and M-files ]
• A Global Optimization Heuristic for Estimating Agent Based Models, Computational Statistics and Data Analysis 42 (2003) 299-312, (with P. Winker). [ Summary ]
• Solving Finite Difference Schemes Arising in Trivariate Option Pricing, Journal of Economic Dynamics and Control 26 (2002) 1499-1515, (with E. Këllezi and G. Pauletto). [ Summary ] [ Matlab code]
• The Threshold Accepting Heuristic for Index Tracking, In Financial Engineering, E-Commerce, and Supply Chain, (Eds. P. Pardalos and V.K. Tsitsiringos), Kluwer Applied Optimization Series, 2002, 1--18, (with E. Këllezi).
• Portfolio Optimization with VaR and Expected Shortfall. In Computational Methods in Decision-making, Economics and Finance, (Eds. E.J. Kontoghiorghes, B. Rustem and S. Siokos), Kluwer Applied Optimization Series, 2002, 167--183, (with E. Këllezi).
• Parallel Krylov Methods for Econometric Model Simulation, Computational Economics, 16, 2000, 173-186, (with G. Pauletto).
• Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of Cat-Bonds , The Journal of Insurance Issues, 2, 1999, 125-146, Donald Hardegree Memorial Outstanding Paper Award, (with H. Loubergé and E. Këllezi).
• Modelling and forecasting the social contributions to the Swiss Old Age and Survivor Insurance scheme, Swiss Journal of Economics and Statistics, 3, 1999, 349-368, (with G. Aeschimann, G. Antille, F. Carlevaro, J.-P. Chaze, G. Ferro-Luzzi, Y. Flückiger).
• Krylov Methods for Solving Models with Forward-Looking Variables,  Journal of Economic Dynamics and Control 22, 1998, 1275-1289, (with G. Pauletto). [ Summary ]
• Sparse Direct Methods for Model Simulation, Journal of Economic Dynamics and Control 21, 1997, 1093-1111, (with G. Pauletto). [ Summary ]
• Matchings, Covers, and Jacobian Matrices, Journal of Economic Dynamics and Control 20, 1996, 1541-1556, (with M. Garbely). [ Summary ]
• Graph theory-based tools in the practice of macroeconometric modelling, in Methods and Applications of Economic Dynamics, L. Schoonbeek, E. Sterken, and S.K. Kuipers (Eds.), Series: Contributions to Economic Analysis, North Holland, 1995, 89-114.
• Econometric Model Simulation on Parallel Computers, Internat. J. Supercomput. Appl. 7, 1993, 254-264, (with G. Pauletto).
• Causal Ordering and Beyond, International Economic Review 33, 1992, 957-972.
• Equation Orderings for Iterative Processes - A Comment, Computer Science in Economics and Management 5, 1992, 147-153, (with M. Garbely et G. Pauletto).
• Qualitative Decomposition of the Eigenvalue Problem in a Dynamic System, Journal of Economic Dynamics and Control 15, 1991, 539-548, (with M. Garbely). [ Summary ]
• Qualitative Solvability in Economic Models, Computer Science in Economics and Management 4, 1991, 285-301, (with P. Fontaine et M. Garbely).
• A Comment: On the Number of Nonzero Eigenvalues of a Dynamic Linear Econometric Model, Empirical Economics 15, 1990, 99-104, (with M. Garbely).
• How to Strip a Model to its Essential Elements, Computer Science in Economics and Management 3, 1990, 199-214, (with G. Gallo).

• Editorial – 2nd special issue on applications of optimization heuristics to estimation and modelling problems. Computational Statistics and Data Analysis 52(1), 2–3, 2007, (with P. Winker).
• Guest editor for the special issue on Applications of optimization heuristics to estimation and modelling problems in Computational Statistics and Data Analysis, 47(2), 211–400, 2004, (with P. Winker).
  
• Guest editor for the special issue on Computational Finance in the journal Computational Economics 9, 1996, (with A. Nagurney).
• Computational Economic Systems. Models, Methods and Econometrics, Series: Advances in Computational Economics, Kluwer Academic Publishers, 1995, 287 pages, (editor).