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111
Convex duality in stochastic optimization and mathematical finance
Pennanen, Teemu
- In:
Mathematics of operations research
36
(
2011
)
2
,
pp. 340-362
Persistent link: https://www.econbiz.de/10009162067
Saved in:
112
Income drawdown option with minimum guarantee
Di Giacinto, Marina
;
Federico, Salvatore
;
Gozzi, Fausto
; …
- In:
European journal of operational research : EJOR
234
(
2014
)
3
,
pp. 610-624
Persistent link: https://www.econbiz.de/10010360497
Saved in:
113
On the complexity of the single machine scheduling problem minimizing total weighted delay penalty
Vásquez, Óscar C.
- In:
Operations research letters
42
(
2014
)
5
,
pp. 343-347
Persistent link: https://www.econbiz.de/10010404393
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114
Power utility maximization in constrained exponential Lévy models
Nutz, Marcel
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 690-709
Persistent link: https://www.econbiz.de/10009614940
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115
Optimal switching decisions under stochastic volatility with fast mean reversion
Tsekrekos, Andrianos E.
;
Yannacopoulos, Athanasios N.
- In:
European journal of operational research : EJOR
251
(
2016
)
1
,
pp. 148-157
Persistent link: https://www.econbiz.de/10011446242
Saved in:
116
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Shoshi, Humayra
;
SenGupta, Indranil
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012815115
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117
Multidimensional investment problem
Christensen, Sören
;
Salminen, Paavo
- In:
Mathematics and financial economics
12
(
2018
)
1
,
pp. 75-95
Persistent link: https://www.econbiz.de/10011963303
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118
Optimal liquidation under stochastic price impact
Barger, Weston
;
Lorig, Matthew
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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119
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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120
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
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