Numerical treatment of an asset price model with non-stochastic uncertainty. (With comments and rejoinder).

DOI10.1007/BF02578932zbMath1050.91051MaRDI QIDQ699507

D. Kharzeev

Publication date: 10 February 2003

Published in: Top (Search for Journal in Brave)

zbMATH Keywords

financemethods in mathematical programmingprice theory

Mathematics Subject Classification ID

Related Items (4)

A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model ⋮ Comparative study of RPSALG algorithm for convex semi-infinite programming ⋮ An exchange method with refined subproblems for convex semi-infinite programming problems ⋮ γ-Active Constraints in Convex Semi-Infinite Programming

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• Critical sets in parametric optimization
• Proximal interior point approach in convex programming (ill-posed problems)^*†
• Interior Proximal and Multiplier Methods Based on Second Order Homogeneous Kernels
• An equilibrium characterization of the term structure

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