Narrow search
Showing 1 - 10 of 3,658
Cover Image
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Shoshi, Humayra; SenGupta, Indranil - In: International journal of financial engineering 8 (2021) 4, pp. 1-29
Persistent link: https://www.econbiz.de/10012815115
Cover Image
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
Cover Image
Pricing related projects
Flam, S. D.; Gassmann, H. I. - In: Coping with uncertainty : modeling and policy issues, (pp. 301-313). 2006
Persistent link: https://www.econbiz.de/10003394901
Cover Image
Convex duality in stochastic optimization and mathematical finance
Pennanen, Teemu - In: Mathematics of operations research 36 (2011) 2, pp. 340-362
Persistent link: https://www.econbiz.de/10009162067
Cover Image
Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624
Persistent link: https://www.econbiz.de/10010360497
Cover Image
On the complexity of the single machine scheduling problem minimizing total weighted delay penalty
Vásquez, Óscar C. - In: Operations research letters 42 (2014) 5, pp. 343-347
Persistent link: https://www.econbiz.de/10010404393
Cover Image
Power utility maximization in constrained exponential Lévy models
Nutz, Marcel - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 690-709
Persistent link: https://www.econbiz.de/10009614940
Cover Image
Optimal switching decisions under stochastic volatility with fast mean reversion
Tsekrekos, Andrianos E.; Yannacopoulos, Athanasios N. - In: European journal of operational research : EJOR 251 (2016) 1, pp. 148-157
Persistent link: https://www.econbiz.de/10011446242
Cover Image
Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion : An Numerical Impulse Control Approach
Dang, Duy-Minh - 2013
We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...
Persistent link: https://www.econbiz.de/10013084034
Cover Image
Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs
Kabanov, Youri - 2015
We consider a consumption-investment optimization problem for the Kabanov model when the proportional transaction costs rate is constant and the prices are modeled by a Lévy process. We naturally extend the preliminary work of [4] to portfolio processes that are only supposed to be làdlàg....
Persistent link: https://www.econbiz.de/10013034994