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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

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

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

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

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

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

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

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

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

Multidimensional investment problem

Christensen, Sören; Salminen, Paavo - In: Mathematics and financial economics 12 (2018) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10011963303

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