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type_genre:"Article in journal"
type_genre:"Survey"
~person:"Ahmed, Shabbir"
~person:"Benth, Fred Espen"
~person:"Shapiro, Alexander"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
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Stochastischer Prozess
Volatility
Theorie
78
Theory
78
Mathematical programming
38
Mathematische Optimierung
38
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33
Derivat
10
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Ahmed, Shabbir
Benth, Fred Espen
Shapiro, Alexander
Escudero, Laureano F.
35
McAleer, Michael
25
Gupta, Rangan
22
Phillips, Peter C. B.
22
Gendreau, Michel
21
Bollerslev, Tim
20
Wong, Wing Keung
18
Yu, Jun
17
Taylor, Robert
16
Andersen, Torben
15
Asai, Manabu
15
Siu, Tak Kuen
15
Escobar, Marcos
13
Liu, Ming
13
Maggioni, Francesca
13
Renault, Eric
13
Wallace, Stein W.
13
Wang, Yudong
13
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12
Carr, Peter
12
Chan, Joshua
12
Fabozzi, Frank J.
12
Rossi, Roberto
12
Aït-Sahalia, Yacine
11
Caporale, Guglielmo Maria
11
Chu, Feng
11
Garín, María Araceli
11
Ghysels, Eric
11
Li, Kai
11
Madan, Dilip B.
11
Mele, Antonio
11
Post, Thierry
11
Tarim, S. Armagan
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Tsionas, Efthymios G.
11
Tzeng, Larry Y.
11
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European journal of operational research : EJOR
10
Operations research letters
6
INFORMS journal on computing : JOC
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
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2
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International journal of theoretical and applied finance
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Maritime economics & logistics : a quarterly scientific journal committed to the advancement of maritime economics as a distinct and well defined branch of both applied economics and international business
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ECONIS (ZBW)
35
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1
Duality and sensitivity analysis of multistage linear stochastic programs
Guigues, Vincent
;
Shapiro, Alexander
;
Cheng, Yi
- In:
European journal of operational research : EJOR
308
(
2023
)
2
,
pp. 752-767
Persistent link: https://www.econbiz.de/10014283124
Saved in:
2
Dual bounds for periodical stochastic programs
Shapiro, Alexander
;
Cheng, Yi
- In:
Operations research
71
(
2023
)
1
,
pp. 120-128
Persistent link: https://www.econbiz.de/10014308404
Saved in:
3
State-variable modeling for a class of two-stage stochastic optimization problems
Doulabi, Hossein Hashemi
;
Ahmed, Shabbir
;
Nemhauser, …
- In:
INFORMS journal on computing : JOC ; charting new …
34
(
2022
)
1
,
pp. 354-369
Persistent link: https://www.econbiz.de/10013359075
Saved in:
4
Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Benth, Fred Espen
;
Christensen, Troels Sønderby
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012424641
Saved in:
5
Distributionally robust facility location problem under decision-dependent stochastic demand
Basciftci, Beste
;
Ahmed, Shabbir
;
Shen, Siqian
- In:
European journal of operational research : EJOR
292
(
2021
)
2
,
pp. 548-561
Persistent link: https://www.econbiz.de/10012502379
Saved in:
6
Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
Shapiro, Alexander
- In:
European journal of operational research : EJOR
288
(
2021
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012496519
Saved in:
7
Central limit theorem and sample complexity of stationary stochastic programs
Shapiro, Alexander
;
Cheng, Yi
- In:
Operations research letters
49
(
2021
)
5
,
pp. 676-681
Persistent link: https://www.econbiz.de/10013207426
Saved in:
8
Bicriteria approximation of chance-constrained covering problems
Xie, Weijun
;
Ahmed, Shabbir
- In:
Operations research
68
(
2020
)
2
,
pp. 516-533
Persistent link: https://www.econbiz.de/10012213365
Saved in:
9
Risk neutral reformulation approach to risk averse stochastic programming
Liu, Rui Peng
;
Shapiro, Alexander
- In:
European journal of operational research : EJOR
286
(
2020
)
1
,
pp. 21-31
Persistent link: https://www.econbiz.de/10012239878
Saved in:
10
Optimization-driven scenario grouping
Ryan, Kevin
;
Ahmed, Shabbir
;
Dey, Santanu S.
;
Rajan, Deepak
- In:
INFORMS journal on computing : JOC
32
(
2020
)
3
,
pp. 805-821
Persistent link: https://www.econbiz.de/10012294739
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