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~accessRights:"restricted"
~isPartOf:"Applied mathematical finance"
~subject:"Control theory"
~subject:"Derivative"
~subject:"Mathematische Optimierung"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Control theory
Derivative
Mathematische Optimierung
Portfolio selection
33
Portfolio-Management
33
Theorie
18
Theory
18
Stochastic process
16
Stochastischer Prozess
16
Hedging
9
Option pricing theory
8
Optionspreistheorie
8
Volatility
7
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Mathematical programming
6
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6
Risk
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Experiment
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Kontrolltheorie
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Derivat
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Elektronisches Handelssystem
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Markov chain
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Markov-Kette
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Martingal
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Martingale
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Risikomanagement
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Risk management
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portfolio optimization
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stochastic control
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stochastic optimal control
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Aktienindex
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Bergault, Philippe
1
Bouveret, Géraldine
1
Bouzianis, George
1
Campi, Luciano
1
Duck, Peter
1
Evangelista, David
1
Fahim, Arash
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Fouque, Jean-Pierre
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Guijarro-Ordonez, Jorge
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Guéant, Olivier
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Howell, Sydney D.
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Hu, Ruimeng
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Huang, Xuancheng
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Hughston, Lane P.
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Jaimungal, Sebastian
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Johnson, Paul
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Leung, Tim
1
Lin, Hua-Yi
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Mai, Jan-Frederik
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Ménassé, Clément
1
Nourian, Mojtaba
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Ramirez, Hugo Eduardo
1
Souza, Max O.
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Tankov, Peter
1
Thamsten, Y.
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Vieira, Douglas
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Applied mathematical finance
European journal of operational research : EJOR
82
Quantitative finance
29
Finance research letters
28
International journal of theoretical and applied finance
28
Insurance / Mathematics & economics
26
Computational economics
20
Journal of the Operational Research Society
20
Computers & operations research : and their applications to problems of world concern ; an international journal
17
Journal of mathematical finance
17
International journal of financial engineering
15
Journal of banking & finance
13
Finance and stochastics
12
Mathematics and financial economics
12
Omega : the international journal of management science
12
Operational research : an international journal
12
Journal of economic dynamics & control
11
Operations research
11
Operations research letters
11
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Scandinavian actuarial journal
9
The journal of asset management
9
The journal of derivatives : JOD
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
Mathematical methods of operations research
8
Mathematics of operations research
8
The engineering economist : a journal devoted to the problems of capital investment
8
Energy economics
7
The North American journal of economics and finance : a journal of financial economics studies
7
Computational Management Science : CMS
6
Economic modelling
6
IMA journal of management mathematics
6
Journal of risk
6
The European journal of finance
6
INFORMS journal on computing : JOC
5
International review of financial analysis
5
Mathematical finance : an international journal of mathematics, statistics and financial economics
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OR spectrum : quantitative approaches in management
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Operations research forum
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ECONIS (ZBW)
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1
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
2
Closed-form approximations in multi-asset market making
Bergault, Philippe
;
Evangelista, David
;
Guéant, Olivier
; …
- In:
Applied mathematical finance
28
(
2021
)
2
,
pp. 101-142
Persistent link: https://www.econbiz.de/10013171062
Saved in:
3
Optimal market making under partial information with general intensities
Campi, Luciano
;
Zabaljauregui, Diego
- In:
Applied mathematical finance
27
(
2020
)
1/2
,
pp. 1-45
Persistent link: https://www.econbiz.de/10012254093
Saved in:
4
Optimal hedging in incomplete markets
Bouzianis, George
;
Hughston, Lane P.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
Saved in:
5
Mean-field game strategies for optimal execution
Huang, Xuancheng
;
Jaimungal, Sebastian
;
Nourian, Mojtaba
- In:
Applied mathematical finance
26
(
2019
)
2
,
pp. 153-185
Persistent link: https://www.econbiz.de/10012210268
Saved in:
6
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
Saved in:
7
High-dimensional statistical arbitrage with factor models and stochastic control
Guijarro-Ordonez, Jorge
- In:
Applied mathematical finance
26
(
2019
)
4
,
pp. 328-358
Persistent link: https://www.econbiz.de/10012210319
Saved in:
8
Portfolio optimization for credit-risky assets under Marshall–Olkin dependence
Mai, Jan-Frederik
- In:
Applied mathematical finance
26
(
2019
)
6
,
pp. 598-618
Persistent link: https://www.econbiz.de/10012210432
Saved in:
9
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
Saved in:
10
The optimal interaction between a hedge fund manager and investor
Ramirez, Hugo Eduardo
;
Johnson, Paul
;
Duck, Peter
; …
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 483-510
Persistent link: https://www.econbiz.de/10012129178
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