Optimal clearing payments in a financial contagion model
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Publication:6557368
DOI10.1137/22m150294xzbMATH Open1544.91348MaRDI QIDQ6557368
Anton V. Proskurnikov, Giulia Fracastoro, Giuseppe Calafiore
Publication date: 18 June 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Convex programming (90C25) Linear programming (90C05) Financial networks (including contagion, systemic risk, regulation) (91G45)
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