Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach (Q2430628): Difference between revisions

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+Duality and martingales: a stochastic programming perspective on contingent claims
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+Discretized reality and spurious profits in stochastic programming models for asset/liability management
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+Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
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+Scenario generation and stochastic programming models for asset liability management
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+The pricing of options on an interval binomial tree. An application to the DAX-index option market
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