Some finance problems solved with nonsmooth optimization techniques

DOI10.1023/B:JOTA.0000005037.49022.1azbMath1073.91042OpenAlexW2083467256MaRDI QIDQ597156

Sumit K. Garg

Publication date: 6 August 2004

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jota.0000005037.49022.1a

zbMATH Keywords

transaction costsutility maximizationbond durationgeneral term structure changesNonsmooth optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Nonsmooth analysis (49J52)

Related Items

Necessary optimality conditions in discrete nonsmooth optimal control ⋮ Macaulay durations for nonparallel shifts

Cites Work

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• Optimal control problems with differential inclusions: Sufficiency conditions and an application to a production-inventory model
• Optimization and nonsmooth analysis
• On the Optimal Design of Columns Against Buckling
• The Optimal Exploitation of Renewable Resource Stocks: Problems of Irreversible Investment
• European Option Pricing with Transaction Costs
• Optimal control

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