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Accurate and robust numerical methods for the dynamic portfolio management problem
Cong, Fei; Oosterlee, Cornelis Willebrordus - In: Computational economics 49 (2017) 3, pp. 433-458
Persistent link: https://www.econbiz.de/10011762120
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Numerically stable computation of CreditRisk+
Haaf, Hermann; Reiß, Oliver; Schoenmakers, John - In: CreditRisk+ in the banking industry, (pp. 69-77). 2004
Persistent link: https://www.econbiz.de/10002108694
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Numerical methods in finance : a MATLAB-based introduction
Brandimarte, Paolo - 2002 - [Nachdr.]
Persistent link: https://www.econbiz.de/10001584590
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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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Handbook of computational and numerical methods in finance
Račev, Svetlozar T. (ed.) - 2004
Persistent link: https://www.econbiz.de/10001921728
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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Equations of Hamilton-Jacobi type and their applications in finance
Nayak, Suhas R. - 2006
Persistent link: https://www.econbiz.de/10003965678
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Alternative numerical approaches to portfolio construction and complex option pricing
Roko, Ilir - 2006
Persistent link: https://www.econbiz.de/10008653032
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Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
Meskarian, Rudabeh; Xu, Huifu; Fliege, Jörg - In: European journal of operational research : EJOR 216 (2012) 2, pp. 376-385
Persistent link: https://www.econbiz.de/10009387417
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Numerical solution of dynamic portfolio optimization with transaction costs
Cai, Yongyang; Judd, Kenneth L.; Xu, Rong - 2013
Persistent link: https://www.econbiz.de/10009711772