Optimization Methods in Mathematical Finance
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Publication:5746722
DOI10.1080/02331934.2013.863528zbMath1281.00025OpenAlexW1968585627MaRDI QIDQ5746722
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Publication date: 7 February 2014
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2013.863528
Applications of mathematical programming (90C90) Proceedings of conferences of miscellaneous specific interest (00B25) Financial applications of other theories (91G80)
Cites Work
- Adapted solution of a backward stochastic differential equation
- Duality and martingales: a stochastic programming perspective on contingent claims
- On optimal partial hedging in discrete markets
- Static and dynamic VaR constrained portfolios with application to delegated portfolio management
- Calibrated American option pricing by stochastic linear programming
- Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
- Portfolio selection with a minimax measure in safety constraint
- On a variational sequential bargaining pricing scheme
- Application of doubly reflected BSDEs to an impulse control problem
- Calibration of a multifactor model for the forward markets of several commodities
- Optimal consumption problems in discontinuous markets
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