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1
Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index
volatility
Staino, Alessandro
;
Russo, Emilio
- In:
European journal of operational research : EJOR
280
(
2020
)
2
,
pp. 741-753
Persistent link: https://www.econbiz.de/10012132469
Saved in:
2
From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina
;
Tedeschi, Gabriele
- In:
European journal of operational research : EJOR
262
(
2017
)
3
,
pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
Saved in:
3
VIX derivatives,
hedging
and vol-of-vol risk
Kaeck, Andreas
;
Seeger, Norman
- In:
European journal of operational research : EJOR
283
(
2020
)
2
,
pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
Saved in:
4
Logistics capacity planning : a stochastic bin packing formulation and a progressive
hedging
meta-heuristic
Crainic, Teodor Gabriel
;
Gobbato, Luca
;
Perboli, Guido
; …
- In:
European journal of operational research : EJOR
253
(
2016
)
2
,
pp. 404-417
Persistent link: https://www.econbiz.de/10011490341
Saved in:
5
Reducing transaction costs for interest rate risk
hedging
with stochastic programming
Blomvall, Jörgen
;
Hagenbjörk, Johan
- In:
European journal of operational research : EJOR
302
(
2022
)
3
,
pp. 1282-1293
Persistent link: https://www.econbiz.de/10013363855
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6
Risk management of renewable power producers from co-dependencies in cash flows
Bhattacharya, Saptarshi
;
Gupta, Aparna
;
Kar, Koushik
; …
- In:
European journal of operational research : EJOR
283
(
2020
)
3
,
pp. 1081-1093
Persistent link: https://www.econbiz.de/10012171766
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7
An explicitly solvable Heston model with stochastic interest rate
Recchioni, M. C.
;
Sun, Y.
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 359-377
Persistent link: https://www.econbiz.de/10011435870
Saved in:
8
On moment non-explosions for Wishart-based stochastic
volatility
models
Fonseca, José da
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
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9
On calibration of stochastic and fractional stochastic
volatility
models
Mrázek, Milan
;
Pospíšil, Jan
;
Sobotka, Tomáš
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 1036-1046
Persistent link: https://www.econbiz.de/10011522408
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10
Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic
volatility
model
Ma, Jingtang
;
Li, Wenyuan
;
Zheng, Harry
- In:
European journal of operational research : EJOR
280
(
2020
)
2
,
pp. 428-440
Persistent link: https://www.econbiz.de/10012132415
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