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Using scenario trees and progressive hedging for stochastic inventory routing problems
Hvattum, Lars Magnus; Løkketangen, Arne - In: Journal of heuristics 15 (2009) 6, pp. 527-557
Persistent link: https://www.econbiz.de/10003922303
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Quadratic hedging of basis risk
Hulley, Hardy; McWalter, Thomas A. - 2008
Persistent link: https://www.econbiz.de/10003857124
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Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains
Jakubowski, Jacek; Niewęgłowski, Mariusz - In: Advanced mathematical methods for finance, (pp. 417-453). 2011
Persistent link: https://www.econbiz.de/10008991278
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Fractional smoothness and applications in finance
Geiss, Stefan; Gobet, Emmanuel - In: Advanced mathematical methods for finance, (pp. 313-331). 2011
Persistent link: https://www.econbiz.de/10008991284
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Optimal liquidation of a pairs trade
Ekström, Erik; Lindberg, Carl; Tysk, Johan - In: Advanced mathematical methods for finance, (pp. 247-255). 2011
Persistent link: https://www.econbiz.de/10008991288
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Fractional processes as models in stochastic finance
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Advanced mathematical methods for finance, (pp. 75-103). 2011
Persistent link: https://www.econbiz.de/10008991326
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …
Persistent link: https://www.econbiz.de/10009574876
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Pricing and hedging under high-dimensional jump-diffusion models using partial differential equations
Hepperger, Peter Thomas - 2011
Persistent link: https://www.econbiz.de/10009375794
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Superhedging in illiquid markets
Pennanen, Teemu - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 519-540
Persistent link: https://www.econbiz.de/10009156016
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Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
Watson, Jean-Paul; Woodruff, David L. - In: Computational Management Science : CMS 8 (2011) 4, pp. 355-370
Persistent link: https://www.econbiz.de/10009314925