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Rational prepayments and the valuation of collateralized mortgage obligations
McConnell, John J. - In: The journal of finance : the journal of the American … 49 (1994) 3, pp. 891-921
Persistent link: https://www.econbiz.de/10001172387
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Stochastic programming models for portfolio optimization with mortgage backed securities : comprehensive research guide
MacKendall, Raymond A. - In: Operations research models in quantitative finance : …, (pp. 134-171). 1994
Persistent link: https://www.econbiz.de/10001315480
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Financial networks : statics and dynamics; with 10 tables/ Anna Nagurney; Stavros Siokos
Nagurney, Anna - 1997
Persistent link: https://www.econbiz.de/10000628112
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Computing equilibria in the general equilibrium model with incomplete asset markets
Schmedders, Karl - In: Journal of economic dynamics & control 22 (1998) 8, pp. 1375-1401
Persistent link: https://www.econbiz.de/10001250757
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Optimal investment under dual risk model and Markov modulated financial market
Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171
Persistent link: https://www.econbiz.de/10011398985
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Computational Methods in Finance
Hirsa, Ali - 2012
I Pricing and ValuationStochastic Processes and Risk-Neutral Pricing Characteristic FunctionStochastic Models of Asset PricesValuing Derivatives under Various MeasuresTypes of DerivativesDerivatives Pricing via Transform TechniquesDerivatives Pricing via the Fast Fourier TransformFractional Fast...
Persistent link: https://www.econbiz.de/10011680938
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Application of a rule extraction algorithm family based on the Re-RX algorithm to financial credit risk assessment from a Pareto optimal perspective
Hayashi, Yoichi - In: Operations research perspectives 3 (2016), pp. 32-42
Historically, the assessment of credit risk has proved to be both highly important and extremely difficult. Currently, financial institutions rely on the use of computer-generated credit scores for risk assessment. However, automated risk evaluations are currently imperfect, and the loss of vast...
Persistent link: https://www.econbiz.de/10011822744
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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …
Persistent link: https://www.econbiz.de/10011867378
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The possibility of using method of multi-criteria optimization in financial allocation in the defense system
Damjanović, Radovan; Mihajlović, Milan - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 60 (2014) 1, pp. 148-157
Persistent link: https://www.econbiz.de/10010395240
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Statistik, Ökonometrie, Optimierung : Methoden und ihre praktische Anwendung in Finanzanalyse und Portfoliomanagement
Poddig, Thorsten; Dichtl, Hubert; Petersmeier, Kerstin - 2000
Persistent link: https://www.econbiz.de/10001446941