This paper deals with the stability of the intersection of a given set <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$ X\subset \mathbb{R}^{n}$$</EquationSource> </InlineEquation>with the solution, <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$F\subset \mathbb{R}^{n}$$</EquationSource> </InlineEquation>, of a given linear system whose coefficients can be arbitrarily perturbed. In the optimization context, the fixed constraint set X can be the...</equationsource></inlineequation></equationsource></inlineequation>

This paper deals with the stability of the intersection of a given set $$ X\subset \mathbb{R}^{n}$$ with the solution, $$F\subset \mathbb{R}^{n}$$ , of a given linear system whose coefficients can be arbitrarily perturbed. In the optimization context, the fixed constraint set X can be the...

We consider the hedging of derivative securities when the price movement of the underlying asset can exhibit random jumps. Under a one factor Markovian setting, we derive a spanning relation between a long term option and a continuum of short term options. We then apply this spanning relation to...

Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially important for the design of these products. By using a...