Introduction to convex optimization in financial markets (Q715237)

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Language	Label	Description	Also known as
English	Introduction to convex optimization in financial markets	scientific article

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scholarly article

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Introduction to convex optimization in financial markets (English)

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zbMATH Open document ID

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10.1007/s10107-012-0573-4

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Michael Martin Teemu Pennanen

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Mathematical Programming. Series A. Series B

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publication date

2 November 2012

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full work available at URL

http://edoc.hu-berlin.de/18452/9079

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

financial risk management

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securities markets

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MaRDI profile type

MaRDI publication profile

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Coherent Measures of Risk

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Risk Measures and Efficient use of Capital

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Adjustable robust solutions of uncertain linear programs

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Lectures on Modern Convex Optimization

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Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming

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AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT

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The Pricing of Options and Corporate Liabilities

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MODELING LIQUIDITY EFFECTS IN DISCRETE TIME

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Convex duality in constrained portfolio optimization

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HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>

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Equivalent martingale measures and no-arbitrage in stochastic securities market models

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Portfolio Selection with Transaction Costs

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The mathematics of arbitrage

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Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model

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Cash Stream Valuation In the Face of Transaction Costs and Taxes

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TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION

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Risk Preferences and Their Robust Representation

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CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY

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On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria

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Convex measures of risk and trading constraints

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Stochastic finance. An introduction in discrete time

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Martingales and arbitrage in multiperiod securities markets

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Martingales and stochastic integrals in the theory of continuous trading

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Pricing American Options: A Duality Approach

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ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS

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Martingales and arbitage in securities markets with transaction costs

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Hedging and liquidation under transaction costs in currency markets

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Markets with transaction costs. Mathematical theory.

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Duality and martingales: a stochastic programming perspective on contingent claims

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Galerkin methods in dynamic stochastic programming

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The asymptotic elasticity of utility functions and optimal investment in incomplete markets

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Arbitrage and equilibrium in economies with infinitely many commodities

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Validation analysis of mirror descent stochastic approximation method

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Reduced form modeling of limit order markets

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Robust Stochastic Approximation Approach to Stochastic Programming

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Introductory lectures on convex optimization. A basic course.

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Tractability of multivariate problems. Volume I: Linear information

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Tractability of multivariate problems. Volume II: Standard information for functionals.

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SUPERHEDGING IN ILLIQUID MARKETS

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Epi-Convergent Discretizations of Multistage Stochastic Programs

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Epi-convergent discretizations of multistage stochastic programs via integration quadratures

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Arbitrage and deflators in illiquid markets

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Convex Duality in Stochastic Optimization and Mathematical Finance

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Dual representation of superhedging costs in illiquid markets

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Hedging of Claims with Physical Delivery under Convex Transaction Costs

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Stochastic programs without duality gaps

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Convex Analysis

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Monte Carlo valuation of American options

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The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

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When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?

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