| Publication | Date of Publication | Type |
|---|
V@R representation theorems in ambiguous frameworks
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
Applied Mathematical Finance | 2024-07-08 | Paper |
Actuarial pricing with financial methods
Scandinavian Actuarial Journal | 2023-06-09 | Paper |
Vector Optimization Approach For Pricing And Hedging In Imperfect Markets
INFOR: Information Systems and Operational Research | 2023-05-05 | Paper |
Pareto efficient buy and hold investment strategies under order book linked constraints
Annals of Operations Research | 2022-06-30 | Paper |
Risk transference constraints in optimal reinsurance
Insurance Mathematics & Economics | 2022-03-10 | Paper |
Omega ratio optimization with actuarial and financial applications
European Journal of Operational Research | 2021-06-07 | Paper |
Constructing dynamic life tables with a single-factor model
Decisions in Economics and Finance | 2021-05-19 | Paper |
Golden options in financial mathematics
Mathematics and Financial Economics | 2019-08-30 | Paper |
Differential equations connecting VaR and CVaR
Journal of Computational and Applied Mathematics | 2017-08-01 | Paper |
Good deals and benchmarks in robust portfolio selection
European Journal of Operational Research | 2016-10-07 | Paper |
VaR as the CVaR sensitivity: applications in risk optimization
Journal of Computational and Applied Mathematics | 2016-09-12 | Paper |
Optimal reinsurance under risk and uncertainty
Insurance Mathematics & Economics | 2015-03-13 | Paper |
Good deals in markets with friction
Quantitative Finance | 2014-02-20 | Paper |
On the measurement of financial market integration
Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales (España) | 2014-01-15 | Paper |
Good deals and compatible modification of risk and pricing rule: a regulatory treatment
Mathematics and Financial Economics | 2013-01-20 | Paper |
Minimax strategies and duality with applications in financial mathematics
Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM | 2012-12-05 | Paper |
Vector risk functions
Mediterranean Journal of Mathematics | 2012-11-23 | Paper |
Stable solutions for optimal reinsurance problems involving risk measures
European Journal of Operational Research | 2011-08-19 | Paper |
Minimizing measures of risk by saddle point conditions
Journal of Computational and Applied Mathematics | 2010-07-20 | Paper |
Compatibility between pricing rules and risk measures: The CCVaR
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas | 2010-01-27 | Paper |
Martingales and arbitrage: a new look
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas | 2010-01-27 | Paper |
Deterministic regression model and visual basic code for optimal forecasting of financial time series
Computers & Mathematics with Applications | 2009-07-17 | Paper |
Optimal reinsurance with general risk measures
Insurance Mathematics & Economics | 2009-06-10 | Paper |
Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
European Journal of Operational Research | 2009-04-08 | Paper |
Sensitivity in multiobjective optimization: The generalized envolvent theorem
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2009-02-04 | Paper |
scientific article; zbMATH DE number 5300452 (Why is no real title available?)
| 2008-07-11 | Paper |
Nonconvex optimization for pricing and hedging in imperfect markets
Computers & Mathematics with Applications | 2008-04-17 | Paper |
Risk-neutral valuation with infinitely many trading dates
Mathematical and Computer Modelling | 2008-02-22 | Paper |
Infinitely many securities and the fundamental theorem of asset pricing
Mediterranean Journal of Mathematics | 2007-11-26 | Paper |
Hedging interest rate risk by optimization in Banach spaces
Journal of Optimization Theory and Applications | 2007-09-10 | Paper |
Sensitivity of Pareto solutions in multiobjective optimization
Journal of Optimization Theory and Applications | 2006-11-27 | Paper |
Nonsmooth nonconvex global optimization in a Banach space with a basis
Computers & Mathematics with Applications | 2005-03-08 | Paper |
Orthogonality in multiobjective optimization
Applied Mathematics Letters | 2004-06-11 | Paper |
scientific article; zbMATH DE number 2065139 (Why is no real title available?)
| 2004-05-18 | Paper |
The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.
Computers & Mathematics with Applications | 2003-12-14 | Paper |
Stochastic measures of arbitrage.
Top | 2003-07-13 | Paper |
Radial solutions and orthogonal trajectories in multiobjective global optimization
Journal of Optimization Theory and Applications | 2003-06-18 | Paper |
scientific article; zbMATH DE number 1898293 (Why is no real title available?)
| 2003-04-22 | Paper |
scientific article; zbMATH DE number 1858031 (Why is no real title available?)
| 2003-04-14 | Paper |
Projective system approach to the martingale characterization of the absence of arbitrage
Journal of Mathematical Economics | 2003-03-23 | Paper |
Density theorems for ideal points in vector optimization
European Journal of Operational Research | 2002-12-10 | Paper |
scientific article; zbMATH DE number 1360760 (Why is no real title available?)
| 2000-05-04 | Paper |
Sensitivity and optimality conditions in the multiobjective differential programming
Indian Journal of Pure & Applied Mathematics | 1999-04-27 | Paper |
Sensitivity analysis for convex multiobjective programming in abstract spaces
Journal of Mathematical Analysis and Applications | 1996-09-30 | Paper |
On the envolvent theorem in multiobjective programming
Indian Journal of Pure & Applied Mathematics | 1996-07-03 | Paper |
scientific article; zbMATH DE number 703149 (Why is no real title available?)
| 1994-12-14 | Paper |
Duality theory for infinite-dimensional multiobjective linear programming
European Journal of Operational Research | 1993-12-20 | Paper |
Representation of operators by bilinear integrals
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 4065693 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 4025754 (Why is no real title available?)
| 1984-01-01 | Paper |
