Optimization Methods in Mathematical Finance

DOI10.1080/02331934.2013.863528MaRDI QIDQ5746722zbMATH OpenOpenAlexFDO

Authors

Publication date 7 February 2014

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2013.863528

Mathematics Subject Classification ID

Proceedings of conferences of miscellaneous specific interest (00B25) Applications of mathematical programming (90C90) Financial applications of other theories (91G80)

Cites work

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

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