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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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A Journey Through the 'Mathematical Underworld' of Portfolio Optimization
Lopez de Prado, Marcos - 2015
* It has been estimated that the current size of the asset management industry is approximately US$58 trillion.* Portfolio optimization is one of the problems most frequently encountered by financial practitioners. It appears in various forms in the context of Trading, Risk Management and...
Persistent link: https://www.econbiz.de/10013035982
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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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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.
potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday … Mathematics of Financial Models Provides practical methodologies based on mathematical quantitative analysis to help analysts … industries Includes a mathematics refresher course and plenty of exercises to get readers up to speed The Mathematics of …
Persistent link: https://www.econbiz.de/10012689162
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[Rezension von: Neftci, Salih N., An introduction to the mathematics of financial derivatives]
Jorion, Philippe - In: Journal of economic literature 36 (1998) 1, pp. 255-256
Persistent link: https://www.econbiz.de/10001349709
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An application of hidden Markov models to asset allocation problems
Elliott, Robert J. - In: Finance and stochastics 1 (1997) 3, pp. 229-238
Persistent link: https://www.econbiz.de/10001224221
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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