Introduction to convex optimization in financial markets
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Publication:715237
DOI10.1007/s10107-012-0573-4zbMath1254.91766OpenAlexW1967558542MaRDI QIDQ715237
Publication date: 2 November 2012
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/9079
Convex programming (90C25) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (9)
A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ Management of a hydropower system via convex duality ⋮ Forward-partial inverse-forward splitting for solving monotone inclusions ⋮ Classifying financial markets up to isomorphism ⋮ Arbitrage conditions for electricity markets with production and storage ⋮ PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems ⋮ Valuation and pricing of electricity delivery contracts: the producer's view ⋮ Forward-Douglas–Rachford splitting and forward-partial inverse method for solving monotone inclusions
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