Optimization Methods in Mathematical Finance (Q5746722): Difference between revisions

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+Application of doubly reflected BSDEs to an impulse control problem
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+Calibrated American option pricing by stochastic linear programming
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+On a variational sequential bargaining pricing scheme
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+Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
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+Optimal consumption problems in discontinuous markets
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+Calibration of a multifactor model for the forward markets of several commodities
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+Duality and martingales: a stochastic programming perspective on contingent claims
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+On optimal partial hedging in discrete markets
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+Adapted solution of a backward stochastic differential equation
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+Static and dynamic VaR constrained portfolios with application to delegated portfolio management
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+Portfolio selection with a minimax measure in safety constraint
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