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Optimality of payoffs in Lévy...
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Mathematical programming
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International Federation for Information Processing
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Logos Verlag Berlin
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Springer Malaysia Representative Office
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Workshop on Stochastic Optimization: Numerical Methods and Technical Applications <4, 2001, Neubiberg>
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European journal of operational research : EJOR
378
Computers & operations research : and their applications to problems of world concern ; an international journal
123
Operations research
95
Operations research letters
79
Mathematics of operations research
69
International journal of production research
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INFORMS journal on computing : JOC
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Computational Management Science : CMS
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International journal of production economics
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Omega : the international journal of management science
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International journal of theoretical and applied finance
42
Computational economics
41
Transportation research / E : an international journal
39
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
35
OR spectrum : quantitative approaches in management
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Journal of the Operational Research Society
32
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
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Annals of operations research
30
Quantitative finance
30
Research paper series / Swiss Finance Institute
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Mathematical methods of operations research
26
Operational research : an international journal
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Insurance / Mathematics & economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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International transactions in operational research : a journal of the International Federation of Operational Research Societies
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Journal of economic dynamics & control
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Mathematics and financial economics
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IMA journal of management mathematics
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Finance research letters
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Swiss Finance Institute Research Paper
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Journal of the Operational Research Society : OR
18
Journal of banking & finance
16
Les cahiers du GERAD
16
Operations research perspectives
16
INFOR : information systems and operational research
15
Journal of mathematical finance
15
Computational methods in decision-making, economics and finance
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ECONIS (ZBW)
3,658
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1
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
Saved in:
2
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:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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