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A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013463145
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Intraday power trading : toward an arms race in weather forecasting?
Kuppelwieser, Thomas; Wozabal, David - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 57-83
Persistent link: https://www.econbiz.de/10014226371
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On optimal options book execution strategies with market impact
Kalife, Aymeric; Mouti, Saad - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-40
Persistent link: https://www.econbiz.de/10011715825
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Continuously controlled options : derivatives with added flexibility
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009725089
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Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
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Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71
Persistent link: https://www.econbiz.de/10011976660
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Applications of simulation-based methods in finance : the use of ModelRisk software
Habibi, Hamed; Habibi, Reza - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 82-89
Persistent link: https://www.econbiz.de/10011720964
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Robust option pricing : Hannan and Blackwell meet Black and Scholes
DeMarzo, Peter M.; Kremer, Ilan; Mansour, Yishay - In: Journal of economic theory 163 (2016), pp. 410-434
Persistent link: https://www.econbiz.de/10011593386