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A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model

Chen, Homing; Hu, Cheng-feng - In: European journal of operational research : EJOR 204 (2010) 2, pp. 343-354

Persistent link: https://www.econbiz.de/10003947179

Risk-management methods for the Libor market model using semidefinite programming

Aspremont, Alexandre d' - In: The journal of computational finance 8 (2004/2005) 4, pp. 77-99

Persistent link: https://www.econbiz.de/10002990531

Higher order forward rate agreements and the smoothness of the term structure

Jaschke, Stefan R. - 1999

Persistent link: https://www.econbiz.de/10001377676

Procurement strategy with credit risk

Wang, Hsiao-fan; Su, Ray - In: International journal of operations and quantitative … 19 (2013) 3, pp. 179-200

Persistent link: https://www.econbiz.de/10010253593

A maximum principle for control problems with monotonicity constraints

Hellwig, Martin (contributor) - 2008

The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...