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Books

  • Modeling, Measuring and Managing Risk.
    (CA: W. Römisch)
    301 pages, World Scientific 2007, ISBN 978-981-270-740-6

Chapters in books

 

Articles

  • R. Hochreiter and G. Ch. Pflug. Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Annals of Operations Research. Online First. 2006.
  • R. Hochreiter and G. Ch. Pflug. Polynomial algorithms for pricing path-dependent interest rate instruments. Computational Economics 28(3): 291-309. 2006.
  • G. Ch. Pflug. Subdifferential representations of risk measures. Mathematical Programming, Series B 108(2-3): 339-354 (2006)
  • G. Ch. Pflug. On distortion functionals. Statistics & Decisions 24(1): 45-60 (2006)
  • R. Hochreiter, G. Ch. Pflug and D. Wozabal. Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. System Modeling and Optimization. Volume 199 of Springer IFIP International Federation for Information Processing Series: 219-225 (2006)
  • G. Ch. Pflug. A value-of-information approach to measuring risk in multiperiod economic activity. Journal of Banking and Finance 30(2): 695-715 (2006)
  • G. Ch. Pflug and H. Weisshaupt. Probability gradient estimation by set-valued calculus and applications in network design. SIAM Journal on Optimization 15(3): 898-914 (2005)
  • R. Hochreiter, C. Wiesinger and D. Wozabal. Large-Scale Computational Finance Applications on the Open Grid Service Environment. European Grid Conference 2005. Volume 3470 of Springer Lecture Notes in Computer Science: 891-899 (2005)
  • S. Hochrainer, R. Hochreiter and G. Ch. Pflug. An algorithm for calculating steady state probabilities of $M/E_r/c/K$ queueing systems. Central European Journal of Operations Research 13(1): 1-13 (2005)
  • A. Gaivoronski and G. Ch. Pflug. Value-at-risk in portfolio optimization: properties and computational approach. Journal of Risk 7(2): 1-31 (2005)
  • C. Wiesinger, D. Giczi and R. Hochreiter. An open grid service environment for large-scale computational finance modeling systems. International Conference on Computational Science 2004, Part I. Volume 3036 of Springer Lecture Notes in Computer Science: 83-90 (2004)
  • G. Ch. Pflug and L. Halada. A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs. Computational Optimization and Applications, 24(2-3): 251-266 (2003)
  • A. Müller and G. Ch. Pflug. Asymptotic ruin probabilities for risk processes with dependent increments. Insurance Mathematics & Economics 28(3): 381-392 (2001)
  • G. Ch. Pflug. Optimal scenario tree generation for multiperiod financial planning. Math. Programming, Series B, 89(2): 251-271 (2001)
  • G. Ch. Pflug. Some remarks on the Value-at-Risk and the Conditional Value-at-Risk. In: Probabilistic Constrained Optimization - Methodology and Applications (S. Uryasev editor) Kluwer Academic Publishers, 272-281 (2000)
  • G. Ch. Pflug and A. Swietanowski. Selected parallel optimization methods for financial management under uncertainty. Parallel Computing 26(1): 3-25 (2000)
  • G. Ch. Pflug, A. Swietanowski, E. Dockner and H. Moritsch. The AURORA financial management system: from model design to parallel implementation. Annals of Operations Research 99: 189-206 (2000)

  • R. Hochreiter and G. Ch. Pflug. Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Annals of Operations Research. Online First. 2006.
  • R. Hochreiter and G. Ch. Pflug. Polynomial algorithms for pricing path-dependent interest rate instruments. Computational Economics 28(3): 291-309. 2006.
  • G. Ch. Pflug. Subdifferential representations of risk measures. Mathematical Programming, Series B 108(2-3): 339-354 (2006)
  • G. Ch. Pflug. On distortion functionals. Statistics & Decisions 24(1): 45-60 (2006)
  • R. Hochreiter, G. Ch. Pflug and D. Wozabal. Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. System Modeling and Optimization. Volume 199 of Springer IFIP International Federation for Information Processing Series: 219-225 (2006)
  • G. Ch. Pflug. A value-of-information approach to measuring risk in multiperiod economic activity. Journal of Banking and Finance 30(2): 695-715 (2006)
  • G. Ch. Pflug and H. Weisshaupt. Probability gradient estimation by set-valued calculus and applications in network design. SIAM Journal on Optimization 15(3): 898-914 (2005)
  • R. Hochreiter, C. Wiesinger and D. Wozabal. Large-Scale Computational Finance Applications on the Open Grid Service Environment. European Grid Conference 2005. Volume 3470 of Springer Lecture Notes in Computer Science: 891-899 (2005)
  • S. Hochrainer, R. Hochreiter and G. Ch. Pflug. An algorithm for calculating steady state probabilities of $M/E_r/c/K$ queueing systems. Central European Journal of Operations Research 13(1): 1-13 (2005)
  • A. Gaivoronski and G. Ch. Pflug. Value-at-risk in portfolio optimization: properties and computational approach. Journal of Risk 7(2): 1-31 (2005)
  • C. Wiesinger, D. Giczi and R. Hochreiter. An open grid service environment for large-scale computational finance modeling systems. International Conference on Computational Science 2004, Part I. Volume 3036 of Springer Lecture Notes in Computer Science: 83-90 (2004)
  • G. Ch. Pflug and L. Halada. A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs. Computational Optimization and Applications, 24(2-3): 251-266 (2003)
  • A. Müller and G. Ch. Pflug. Asymptotic ruin probabilities for risk processes with dependent increments. Insurance Mathematics & Economics 28(3): 381-392 (2001)
  • G. Ch. Pflug. Optimal scenario tree generation for multiperiod financial planning. Math. Programming, Series B, 89(2): 251-271 (2001)
  • G. Ch. Pflug. Some remarks on the Value-at-Risk and the Conditional Value-at-Risk. In: Probabilistic Constrained Optimization - Methodology and Applications (S. Uryasev editor) Kluwer Academic Publishers, 272-281 (2000)
  • G. Ch. Pflug and A. Swietanowski. Selected parallel optimization methods for financial management under uncertainty. Parallel Computing 26(1): 3-25 (2000)
  • G. Ch. Pflug, A. Swietanowski, E. Dockner and H. Moritsch. The AURORA financial management system: from model design to parallel implementation. Annals of Operations Research 99: 189-206 (2000)

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