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Portfolio mathematics with general linear and quadratic constraints
Stowe, David L. - In: Journal of mathematical finance 9 (2019) 4, pp. 675-690
Persistent link: https://www.econbiz.de/10012433449
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
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Computer-oriented mathematics : an introduction to numerical methods
Kovach, Ladis D. - 1964
Persistent link: https://www.econbiz.de/10001577505
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Portfolio mathematics
Glasserman, Paul - In: The professional risk managers' guide to finance theory …, (pp. 55-102). 2008
Persistent link: https://www.econbiz.de/10003677812
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The Mathematics of Financial Models + Website : Solving Real-World Problems with Quantitative Methods
Ravindran, Kannoo - 2014 - 1st ed.
Mathematics of Financial Models Provides practical methodologies based on mathematical quantitative analysis to help analysts … potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday … resource combines highly mathematical quantitative analysis with useful, practical methodologies to create an essential guide …
Persistent link: https://www.econbiz.de/10012689162
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Numerical methods and optimization in finance
Gilli, Manfred; Maringer, Dietmar G.; Schumann, Enrico - 2011
Persistent link: https://www.econbiz.de/10009300120
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Numerical methods and optimization in finance
Gilli, Manfred; Maringer, Dietmar G.; Schumann, Enrico - 2019 - Second edition
Persistent link: https://www.econbiz.de/10012386902
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - 2014
We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly,...
Persistent link: https://www.econbiz.de/10010442910
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Financial engineering and computation : principles, mathematics, algorithms
Lyuu, Yuh-Dauh - 2002 - 1. publ.
Persistent link: https://www.econbiz.de/10001571910
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Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22 - 26, 2003, Snowbird, Utah
Yin, George (ed.); Zhang, Qing (contributor) - 2004
Persistent link: https://www.econbiz.de/10001971366