Introduction to convex optimization in financial markets (Q715237): Difference between revisions

@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Measures and Efficient use of Capital
@@ Property / cites work: Risk Measures and Efficient use of Capital / rank @@
+Normal rank
@@ Property / cites work @@
+Adjustable robust solutions of uncertain linear programs
+Normal rank
@@ Property / cites work @@
+Lectures on Modern Convex Optimization
@@ Property / cites work: Lectures on Modern Convex Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
+Normal rank
@@ Property / cites work @@
+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
+Normal rank
@@ Property / cites work @@
+Convex duality in constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
+Normal rank
@@ Property / cites work @@
+Equivalent martingale measures and no-arbitrage in stochastic securities market models
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+The mathematics of arbitrage
@@ Property / cites work: The mathematics of arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
+Normal rank
@@ Property / cites work @@
+Cash Stream Valuation In the Face of Transaction Costs and Taxes
+Normal rank
@@ Property / cites work @@
+TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION
+Normal rank
@@ Property / cites work @@
+Risk Preferences and Their Robust Representation
@@ Property / cites work: Risk Preferences and Their Robust Representation / rank @@
+Normal rank
@@ Property / cites work @@
+CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
+Normal rank
@@ Property / cites work @@
+On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
+Normal rank
@@ Property / cites work @@
+Hedging and liquidation under transaction costs in currency markets
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+Normal rank
@@ Property / cites work @@
+Duality and martingales: a stochastic programming perspective on contingent claims
+Normal rank
@@ Property / cites work @@
+Galerkin methods in dynamic stochastic programming
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Arbitrage and equilibrium in economies with infinitely many commodities
+Normal rank
@@ Property / cites work @@
+Validation analysis of mirror descent stochastic approximation method
+Normal rank
@@ Property / cites work @@
+Reduced form modeling of limit order markets
@@ Property / cites work: Reduced form modeling of limit order markets / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Stochastic Approximation Approach to Stochastic Programming
+Normal rank
@@ Property / cites work @@
+Introductory lectures on convex optimization. A basic course.
+Normal rank
@@ Property / cites work @@
+Tractability of multivariate problems. Volume I: Linear information
+Normal rank
@@ Property / cites work @@
+Tractability of multivariate problems. Volume II: Standard information for functionals.
+Normal rank
@@ Property / cites work @@
+SUPERHEDGING IN ILLIQUID MARKETS
@@ Property / cites work: SUPERHEDGING IN ILLIQUID MARKETS / rank @@
+Normal rank
@@ Property / cites work @@
+Epi-Convergent Discretizations of Multistage Stochastic Programs
+Normal rank
@@ Property / cites work @@
+Epi-convergent discretizations of multistage stochastic programs via integration quadratures
+Normal rank
@@ Property / cites work @@
+Arbitrage and deflators in illiquid markets
@@ Property / cites work: Arbitrage and deflators in illiquid markets / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Duality in Stochastic Optimization and Mathematical Finance
+Normal rank
@@ Property / cites work @@
+Dual representation of superhedging costs in illiquid markets
+Normal rank
@@ Property / cites work @@
+Hedging of Claims with Physical Delivery under Convex Transaction Costs
+Normal rank
@@ Property / cites work @@
+Stochastic programs without duality gaps
@@ Property / cites work: Stochastic programs without duality gaps / rank @@
+Normal rank
@@ Property / cites work @@
+Q3528030
@@ Property / cites work: Q3528030 / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4050397
@@ Property / cites work: Q4050397 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ Property / cites work @@
+Q5494167
@@ Property / cites work: Q5494167 / rank @@
+Normal rank
@@ Property / cites work @@
+When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
+Normal rank
@@ Property / cites work @@
+Q4226567
@@ Property / cites work: Q4226567 / rank @@
+Normal rank