| Publication | Date of Publication | Type |
|---|
Estimating a Hedge Fund Return Model Based on a Small Number of Samples
INFOR: Information Systems and Operational Research | 2023-05-09 | Paper |
Bounding the difference between RankRC and RankSVM and application to multi-level rare class kernel ranking
Data Mining and Knowledge Discovery | 2019-05-03 | Paper |
Analysis of the SRISK measure and its application to the Canadian banking and insurance industries
Annals of Finance | 2018-12-10 | Paper |
Correction to: ``Analysis of the SRISK measure and its application to the Canadian banking and insurance industries
Annals of Finance | 2018-12-10 | Paper |
Learning minimum variance discrete hedging directly from the market
Quantitative Finance | 2018-11-14 | Paper |
Moment matching machine learning methods for risk management of large variable annuity portfolios
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Primal explicit max margin feature selection for nonlinear support vector machines
Pattern Recognition | 2016-07-07 | Paper |
Automatic differentiation in MATLAB using ADMAT with applications
Software - Environments - Tools | 2016-06-15 | Paper |
Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
Annals of Operations Research | 2016-05-19 | Paper |
Calibrating volatility function bounds for an uncertain volatility model
The Journal of Computational Finance | 2014-04-23 | Paper |
Solving nonlinear equations with the Newton-Krylov method based on automatic differentiation
Optimization Methods & Software | 2014-02-07 | Paper |
Calibration and hedging under jump diffusion
Review of Derivatives Research | 2013-10-31 | Paper |
Efficient (partial) determination of derivative matrices via automatic differentiation
SIAM Journal on Scientific Computing | 2013-09-11 | Paper |
Stable local volatility function calibration using spline kernel
Computational Optimization and Applications | 2013-08-08 | Paper |
Regularized robust optimization: the optimal portfolio execution case
Computational Optimization and Applications | 2013-06-26 | Paper |
Using directed edge separators to increase efficiency in the determination of Jacobian matrices via automatic differentiation
Lecture Notes in Computational Science and Engineering | 2012-09-26 | Paper |
A secant method for nonlinear least-squares minimization
Computational Optimization and Applications | 2012-07-10 | Paper |
Dynamic liquidation under market impact
Quantitative Finance | 2011-04-29 | Paper |
Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
SIAM Journal on Optimization | 2010-09-06 | Paper |
Fast (structured) Newton computations
SIAM Journal on Scientific Computing | 2010-05-06 | Paper |
| Parallelism in structured Newton computations | 2009-02-09 | Paper |
Computation and analysis for a constrained entropy optimization problem in finance
Journal of Computational and Applied Mathematics | 2008-11-06 | Paper |
An object-oriented framework for valuing shout options on high-performance computer architectures
Journal of Economic Dynamics and Control | 2008-10-24 | Paper |
Hedging guarantees in variable annuities under both equity and interest rate risks
Insurance Mathematics & Economics | 2006-06-09 | Paper |
ADMIT-1
ACM Transactions on Mathematical Software | 2003-06-25 | Paper |
Segmentation of pulmonary nodule images using 1-norm minimization
Computational Optimization and Applications | 2003-05-05 | Paper |
A new trust-region algorithm for equality constrained optimization
Computational Optimization and Applications | 2002-04-15 | Paper |
A preconditioned conjugate gradient approach to linear equality constrained minimization
Computational Optimization and Applications | 2002-04-07 | Paper |
| Reconstructing the unknown local volatility function | 2001-09-03 | Paper |
A trust region and affine scaling interior point method for nonconvex minimization with linear inequality constraints
Mathematical Programming. Series A. Series B | 2001-08-21 | Paper |
An interior Newton method for quadratic programming
Mathematical Programming. Series A. Series B | 2000-11-12 | Paper |
Efficient calculation of Jacobian and adjoint vector products in the wave propagational inverse problem using automatic differentiation
Journal of Computational Physics | 2000-11-12 | Paper |
A quasi-Newton quadratic penalty method for minimization equality constraints
Computational Optimization and Applications | 2000-10-30 | Paper |
An exterior Newton method for strictly convex quadratic programming
Computational Optimization and Applications | 2000-08-20 | Paper |
A Subspace, Interior, and Conjugate Gradient Method for Large-Scale Bound-Constrained Minimization Problems
SIAM Journal on Scientific Computing | 1999-11-24 | Paper |
| scientific article; zbMATH DE number 1301902 (Why is no real title available?) | 1999-11-10 | Paper |
The Efficient Computation of Structured Gradients using Automatic Differentiation
SIAM Journal on Scientific Computing | 1999-06-24 | Paper |
| scientific article; zbMATH DE number 1186896 (Why is no real title available?) | 1999-04-27 | Paper |
| scientific article; zbMATH DE number 1186889 (Why is no real title available?) | 1998-08-10 | Paper |
The Efficient Computation of Sparse Jacobian Matrices Using Automatic Differentiation
SIAM Journal on Scientific Computing | 1998-05-12 | Paper |
| scientific article; zbMATH DE number 992819 (Why is no real title available?) | 1997-09-02 | Paper |
An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
SIAM Journal on Optimization | 1997-02-11 | Paper |
Parallel continuation-based global optimization for molecular conformation and protein folding
Journal of Global Optimization | 1997-02-09 | Paper |
A Reflective Newton Method for Minimizing a Quadratic Function Subject to Bounds on Some of the Variables
SIAM Journal on Optimization | 1997-01-14 | Paper |
Parallel structural optimization applied to bone remodeling on distributed memory machines
Computational Optimization and Applications | 1996-03-31 | Paper |
| scientific article; zbMATH DE number 516786 (Why is no real title available?) | 1995-08-15 | Paper |
An efficient trust region method for unconstrained discrete-time optimal control problems
Computational Optimization and Applications | 1995-06-25 | Paper |
| scientific article; zbMATH DE number 741123 (Why is no real title available?) | 1995-04-06 | Paper |
On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds
Mathematical Programming. Series A. Series B | 1995-01-05 | Paper |
A parallel build-up algorithm for global energy minimizations of molecular clusters using effective energy simulated annealing
Journal of Global Optimization | 1994-05-03 | Paper |
Isotropic effective energy simulated annealing searches for low energy molecular cluster states
Computational Optimization and Applications | 1994-01-19 | Paper |
The local convergence of the Byrd-Schnabel algorithm for constrained optimization
Applied Mathematics Letters | 1993-10-25 | Paper |
A Globally and Superlinearly Convergent Algorithm for Convex Quadratic Programs with Simple Bbounds
SIAM Journal on Optimization | 1993-08-11 | Paper |
A globally and quadratically convergent affine scaling method for linear \(l_ 1\) problems
Mathematical Programming. Series A. Series B | 1993-01-16 | Paper |
A Global and Quadratically Convergent Method for Linear $l_\infty $ Problems
SIAM Journal on Numerical Analysis | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 43856 (Why is no real title available?) | 1992-09-17 | Paper |
A Parallel Nonlinear Least-Squares Solver: Theoretical Analysis and Numerical Results
SIAM Journal on Scientific and Statistical Computing | 1992-08-13 | Paper |
Partitioned quasi-Newton methods for nonlinear equality constrained optimization
Mathematical Programming. Series A. Series B | 1992-06-28 | Paper |
Computing a Trust Region Step for a Penalty Function
SIAM Journal on Scientific and Statistical Computing | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4155756 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4199965 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4199499 (Why is no real title available?) | 1990-01-01 | Paper |
Solving Systems of Nonlinear Equations on a Message-Passing Multiprocessor
SIAM Journal on Scientific and Statistical Computing | 1990-01-01 | Paper |
A direct active set algorithm for large sparse quadratic programs with simple bounds
Mathematical Programming. Series A. Series B | 1989-01-01 | Paper |
A New Method for Solving Triangular Systems on Distributed-Memory Message-Passing Multiprocessors
SIAM Journal on Scientific and Statistical Computing | 1989-01-01 | Paper |
A chordal preconditioner for large-scale optimization
Mathematical Programming. Series A. Series B | 1988-01-01 | Paper |
A Parallel Triangular Solver for a Distributed-Memory Multiprocessor
SIAM Journal on Scientific and Statistical Computing | 1988-01-01 | Paper |
Local convergence of the multi-secant method for the parallel solution of systems of nonlinear equations
Applied Mathematics Letters | 1988-01-01 | Paper |
The Null Space Problem II. Algorithms
SIAM Journal on Algebraic Discrete Methods | 1987-01-01 | Paper |
The Cyclic Coloring Problem and Estimation of Sparse Hessian Matrices
SIAM Journal on Algebraic Discrete Methods | 1986-01-01 | Paper |
The Null Space Problem I. Complexity
SIAM Journal on Algebraic Discrete Methods | 1986-01-01 | Paper |
Predicting fill for sparse orthogonal factorization
Journal of the ACM | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3936369 (Why is no real title available?) | 1985-01-01 | Paper |
Estimation of sparse hessian matrices and graph coloring problems
Mathematical Programming | 1984-01-01 | Paper |
Large sparse numerical optimization
Lecture Notes in Computer Science | 1984-01-01 | Paper |
A note on the computation of an orthonormal basis for the null space of a matrix
Mathematical Programming | 1984-01-01 | Paper |
On the Local Convergence of a Quasi-Newton Method for the Nonlinear Programming Problem
SIAM Journal on Numerical Analysis | 1984-01-01 | Paper |
Software for estimating sparse Jacobian matrices
ACM Transactions on Mathematical Software | 1984-01-01 | Paper |
Estimation of Sparse Jacobian Matrices and Graph Coloring Blems
SIAM Journal on Numerical Analysis | 1983-01-01 | Paper |
Nonlinear programming via an exact penalty function: Global analysis
Mathematical Programming | 1982-01-01 | Paper |
Nonlinear programming via an exact penalty function: Asymptotic analysis
Mathematical Programming | 1982-01-01 | Paper |
Second-order conditions for an exact penalty function
Mathematical Programming | 1980-01-01 | Paper |
A note on ‘new algorithms for constrained minimax optimization’
Mathematical Programming | 1978-01-01 | Paper |
