Presentations

Presentations 2006 - 2007

• APMOD2006 Plenary
  Presentation by Prof Gautam Mitra

• Algorithmic Trading: An Overview of Applications And Models
  Presentation by Ekaterina Kochieva

• Genetic algorithm and simulation for chance constrained programming problems
  Presentation by Chandra Poojari

• So you think you know about RISK?
  Presentation by Professor Ken Darby-Dowman

• Linear Gaussian Affine Term Structure models with Unobservable Factors: Calibration and Yeild Forecasting
  Presentation by Paresh Date and I.C.Wang

• Scenario Generation for Asset Allocation Problem
  Presentation by Diana Roman and Gautam Mitra

• Direction of Momentum Effects using an Index out - performance Strategy
  Presentation by John Beasley

• Mixed Integer Programming Approaches for Index Tracking and Enhanced Indexation
  Presentation by Nilgun Canakgoz

• Algorithmic Trading: Market Impact Models and Trade Scheduling
  Presentation by Ekaterina Kochieva and Gautam Mitra

• Optimal Filtering and Parameter Estimation of an Electricity spot price model
  Presentation by Christina Erlwein

• Mathematical Programming Models for Asset and Liability Models
  Presentation by Katharina Schwaiger, Cormac Lucas and Gautam Mitra

• Pricing Evaluating Bond Portfolio
  Presentation by Leela Mitra, Rogermar Mamon and Gautam Mitra

• Generating Asset Return Scenarios using Copula Method
  Presentation by Xiaochen Sun, Keming Yu and Gautam Mitra

• SPInE, a combined paradigm of SP and simulation

• Scenario Generation for the Asset Allocation Problem

• Handling Second-Order Stochastic Dominance through cutting-plane representations

• Mathematical Programming Models for Asset and Liability Management

• Computational methods for processing two stage stochastic programming problems

Presentations - 2005

• Portfolio construction based on stochastic dominance and target return distributions
  Presentation by Prof Gautam Mitra, Prof Ken Darby-Dowman and Diana Roman

• Kalman Filtering in Mathematical Finance
  Presentation by Paresh Date

• Quantile, Quantile regression
  Presentation by Keming Yu

• Robust statistics, robust regression and quantile regression
  Presentation by Keming Yu

Presentations - 2004

• Stochastic Programming and Scenario Generation within a simulation framework : An Information Systems perspective
  Nico Di Domenica, George Birbilis, Patrick Valente, Gautam Mitra, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: Banff, May 2004, Canada.

• Strategies for Interacting with Algebraic Modelling Languages : AMPL Studio and COM Objects
  Mustapha Sadki, Patrick Valente, Gautam Mitra, Robert Fourer (NorthWestern University)
  Department of Mathematical Sciences, Brunel University.
  Presented To: Banff, May 2004, Canada.

Presentations - 2003

• Optimisation, uncertainty and risk : a combined modelling perspective for decision making
  Gautam Mitra, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: Italian OR Society: AIRO Conference (Venice)
  3 September 2003

• Optimisation Service Provider (OSP) Project: From Web-based Applications to Web-Services
  Gautam Mitra, Patrick Valente, Tito Ciriani, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: Italian OR Society: AIRO Conference (Venice)
  3 September 2003

• Stochastic Programming and Scenario Generation within a Simulation Framework : An Information Systems Perspective
  Nico Di Domenica, George Birbilis, Patrick Valente, Gautam Mitra, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: OR 45 - Annual Conference, Keele Conference Park, United Kingdom, September 2-3, 2003

• Algorithms for the solution of large-scale quadratic programming (QP) and quadratic mixed integer programming (QMIP) models
  Gautam Mitra, Marion Guertler & Frank Ellison, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: ISMP 2003, Copenhagen, Denmark,
  August 18-22, 2003

• XML representation of MP models for distributed optimisation applications
  Patrick Valente Gautam Mitra, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: ISMP 2003, Copenhagen, Denmark,
  August 18-22, 2003

• Scalability and implementation issues in stochastic programming algorithms
  Chandra Poojari, Frank Ellison, Gautam Mitra, Suvrajeet Sen, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: ISMP 2003, Copenhagen, Denmark,
  August 18-22, 2003

• RISK MEASURES AND MODELS FOR CHOICE UNDER UNCERTAINTY
  Diana Roman, Ken Darby-Dowman, Gautam Mitra, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: ISMP 2003, Copenhagen, Denmark,
  August 18-22, 2003

• Optimisation and the Internet: From Web-based Applications to Web-Services
  Patrick Valente, Gautam Mitra, Triphonas Kyriakis, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: EURO/INFORMS Joint Conference, Istanbul, Turkey,
  July 6-10, 2003

• Solution Algorithms for Large Scale QP and QMIP, Models for Portfolio Planning (Part 1)
  Gautam Mitra and Frank Ellison, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: Modeling, Optimization Risk Management in Finance,
  5-7 March 2003, Risk Management and Financial Engineering Lab, University of Florida, Gainesville.

• Solution Algorithms for Large Scale QP and QMIP, Models for Portfolio Planning (Part 2)
  Gautam Mitra and Frank Ellison, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: Modeling, Optimization Risk Management in Finance,
  5-7 March 2003, Risk Management and Financial Engineering Lab, University of Florida, Gainesville.
  

• A EMERGING ARCHITECTURE OF TOOLS AND COMPONENTS FOR QUANTITATIVE MODELING AND DECISION SUPPORT DECISION SUPPORT(Part 1)
  Gautam Mitra, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: “ Landelijk Netwerk Mathematische Besliskunde ” (LNMB) and the “Nederlands Genootschap voor Besliskunde ” (NGB), 16 January 2003.

• A EMERGING ARCHITECTURE OF TOOLS AND COMPONENTS FOR QUANTITATIVE MODELING AND DECISION SUPPORT DECISION SUPPORT(Part 2)
  Gautam Mitra, CARISMA
  Department of Mathematical Sciences, Brunel University.
  Presented To: “ Landelijk Netwerk Mathematische Besliskunde ” (LNMB) and the “Nederlands Genootschap voor Besliskunde ” (NGB), 16 January 2003.

• Modelling environments and solution algorithms for Large Scale QP and QMIP models for portfolio planning(Part 1)
  Gautam Mitra, CARISMA, Department of Mathematical Sciences, Brunel University.
  Presented To: EUMOptFin EU-Workshop Series on Mathematical Optimization Models for Financial Instituti,ons 13-17 January 2003.

• Modelling environments and solution algorithms for Large Scale QP and QMIP models for portfolio planning(Part 2)
  Gautam Mitra, CARISMA, Department of Mathematical Sciences, Brunel University.
  Presented To: EUMOptFin EU-Workshop Series on Mathematical Optimization Models for Financial Instituti,ons 13-17 January 2003.

Presentations - up to 2002

• Optimum decision making under uncertainty: Modelling, Solving and Applications (Part 1)
  Mitra, G. in: Indian Institute of Technology Bombay, December 2002

• Optimum decision making under uncertainty: Modelling, Solving and Applications (Part 2)
  Mitra, G. in: Indian Institute of Technology Bombay, December 2002

• A Review of Portfolio Planning: Models and Systems
  Gautam Mitra, Triphonas Kyriakis, Cormac Lucas, Mehndi Pirbhai
  14 th Autumn Seminar Beyond Mean-Variance: Do Higher Moments Matter?
  22-24 September 2002 Royal Bath Hotel Bournemouth

• Solving Large Scale QP and QMIP Portfolio Models: Discussion of Algorithms
  Gautam Mitra, Frank Ellison, Marion Guertler
  The 15th Annual Investment Seminar organised
  Presentation by Alpha Strategies and UBS Warburg
  Cambridge 9 - 11 September 2002

• A framework for measurement and control of risk -'Optimum Risk Decisions'
  Triphonas Kyriakis, Gautam Mitra
  Edimburgh IFORS, July 2002

• A Review of Portfolio Planning: Models and Systems
  Gautam Mitra, Triphonas Kyriakis, Cormac Lucas, Mehndi Pirbhai
  Edimburgh IFORS, July 2002

• Stochastic optimisation models in integrated market and credit risk ALM
  Norbert J. Jobst, Stavros A. Zenios and Gautam Mitra
  Edimburgh IFORS, July 2002

• Stochastic programming and simulation : A combined paradigm for decision
  making under uncertainty
  Patrick Valente, Nico Di Domenica, Gautam Mitra
  APMOD 2002 Conference Como Italy

• An Investigation comparing Mixed Integer Programming and Constraint Programming on a Generic Supply Chain Model
  D Chippington Derrick, C A Lucas, and G Mitra
  APMOD 2002 Conference Como Italy

• Weight Selection and Indentification for H-Infinity loopshaping
  Paresh Date
  Signals and Systems group, TU Delft, Netherlands, January 2002.
  

• Identification for control: A nu-gap metric approach
  Paresh Date
  Control group, University of Siena, Italy, April 2001.

• Planning of Capacity and Inventory in a Manufacturing Supply Chain: Under Uncertain Demand
  B. Dominguez Ballesteros , C. Lucas, G. Mitra, C. Poojari
  17 - 20 June 2001 INFORMS International Hawaii

• An ALM model with downside risk and cVaR constraints
  Triphonas Kyriakis Gautam Mitra Cormac Lucas
  Department of Mathematical Sciences [ Greece 2001]
  

• A technique for solving stochastic programs with first stage integer variables
  Chandra A. Poojari, Gautam Mitra
  IX International Conference on Stochastic Programming, Berlin [25-31 August 2001]
  

• Value at Risk analysis of a multistage asset/liability management model using the SPInE
  P. Valente, G. Mitra, C.A.Poojari, T. Kyriakis
  Department of Mathematical Sciences,Brunel University, London
  IX International Conference on Stochastic Programming, Berlin [25-31 August 2001]

• OLAP for Optimum Asset Allocation under under Uncertainty
  Triphonas Kyriakis, Nikitas - Spiros Koutsoukis, Gautam Mitra,
  Department of Mathematical Sciences, Brunel University, UK.
  InterSymp 2001 Special Focus Symposium on Decision Technology and Intelligent Information Systems

• Modelling and Solving Environments for MP: A Status Review and New Directions
  B. Dominguez-Ballesteros, G. Mitra, C. Lucas, N. S. Koutsoukis
  Dept. of Mathematical Sciences Dept. of Mathematical Sciences
  Brunel University. Conference Atlanta [2000]

• Optimum decision making under uncertainty: Modelling, Solving And Applications
  Gautam Mitra,Department of Mathematical Sciences.
  AIRO 2000 Conference, MILAN, Italy [18-21 September, 2000]

• Optimum decision making under uncertainty
  N. Jobst, C.A.Lucas, G. Mitra, P. Valente , Brunel University, London
  Reading [May 2000]

• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
  M.D. Horniman, N.Jobst, C.A. Lucas and G. Mitra Brunel University
  University Finance Seminar, University of Cambridge [12 May 2000]

• Supply Chain Planning and Management: A Software Architecture
  Brunel University (Mathematical Programming Group) Logistics Consulting Partners IBERINCO [February 1999]

• Modelling & Solution of Supply Chain Planning Under Uncertainty
  Gautam Mitra, Cormac A. Lucas, Ali MirHassani, Chandra Poojari, Belen Dominguez-Ballesteros. Brunel University & UNICOM Consultants.
  INFORMS: Fall 99 Meeting Philadelphia [November 7-10 1999].

• OptiWin OptiWin Client/ Server Integration Tools for Mathematical Programming
  Gautam Mitra. INFORMS [1999].

• Multi Agent Based Environment for Decision Support and Optimisation Modelling
  G. Mitra, H. Mousavi, C. Lucas, N. Koutsoukis, B. Dominguez- Ballesteros
  Brunel University, Department of Mathematics and Statistics,
  London, UK and UNICOM Consultants.
  INFORMS [1998].

• On- Line Analytical Processing OLAP: The Interaction of Information and Decision Technologies
  Nikitas-Spiros Koutsoukis, Gautam Mitra, Cormac Lucas.
  Brunel University, Department of Mathematics and Statistics,
  London, UK and UNICOM Consultants.
  INFORMS [1997].

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