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On Generalized Derivatives for C Wedge(1,1) Vector Functions and Optimality Conditions
La Torre, Davide - 2004
Persistent link: https://www.econbiz.de/10014068648
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Arbitrage and nonlinear tax scales
Becker, Marcus; Löffler, Andreas - 2016 - 12. April 2016 (first draft)
We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the …
Persistent link: https://www.econbiz.de/10011450302
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Application of genetic algorithm to optimal income taxation
Małecka-Ziembińska, Edyta; Ziembiński, Radosław - In: Journal of risk and financial management : JRFM 13 (2020) 11/251, pp. 1-24
This paper, intended for researchers, introduces a stochastic method for calculating the optimal tax schedule based on taxpayer utility, population skill distribution, and wages. It implements and extends the classic approach to optimal income tax calculation introduced by J.A. Mirrlees. A...
Persistent link: https://www.econbiz.de/10012389887
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Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
Guo, Ivan - 2019
In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting …
Persistent link: https://www.econbiz.de/10012896686
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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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A lattice framework for option pricing with two state variables
Boyle, Phelim P. - In: Journal of financial and quantitative analysis : JFQA 23 (1988) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10001047159
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Recent advances in financial engineering 2009 : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009
Kijima, Masaaki (contributor) - 2010
Persistent link: https://www.econbiz.de/10003981989
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Pricing energy derivatives by linear programming : tolling agreement contracts
Ryabchenko, Valeriy; Uryasev, Stan - In: The journal of computational finance 14 (2010/11) 3, pp. 73-126
Persistent link: https://www.econbiz.de/10008989930
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Deriving a minimum distance-based collective preorder : a binary mathematical programming approach
Jabeur, Khaled; Martel, Jean-Marc; Guitouni, Adel - In: OR spectrum : quantitative approaches in management 34 (2012) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10009488312
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Optimality conditions of type KKT for optimization problem with interval-valued objective function via generalized derivative
Chalco-Cano, Y.; Lodwick, W. A.; Rufian-Lizana, A. - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 3, pp. 305-322
Persistent link: https://www.econbiz.de/10010232686