| Publication | Date of Publication | Type |
|---|
GDP-linked bonds as a new asset class
Quantitative Finance | 2025-01-06 | Paper |
Risk management for sustainable sovereign debt financing
Operations Research | 2021-07-29 | Paper |
A parsimonious model for generating arbitrage-free scenario trees
Quantitative Finance | 2021-07-16 | Paper |
Integrated dynamic models for hedging international portfolio risks
European Journal of Operational Research | 2020-05-26 | Paper |
Tracking bond indices in an integrated market and credit risk environment
Quantitative Finance | 2019-01-14 | Paper |
Pricing sovereign contingent convertible debt
International Journal of Theoretical and Applied Finance | 2019-01-10 | Paper |
Portfolio diversification in the sovereign credit swap markets
Annals of Operations Research | 2018-11-12 | Paper |
Pricing and hedging GDP-linked bonds in incomplete markets
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
European Journal of Operational Research | 2018-05-22 | Paper |
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
Optimization and Engineering | 2017-09-08 | Paper |
Designing and pricing guarantee options in defined contribution pension plans
Insurance Mathematics & Economics | 2015-12-14 | Paper |
| scientific article; zbMATH DE number 6118209 (Why is no real title available?) | 2012-12-23 | Paper |
| Practical financial optimization. A library of GAMS models | 2011-04-12 | Paper |
| scientific article; zbMATH DE number 5589690 (Why is no real title available?) | 2009-08-03 | Paper |
Scenario modelling for selective hedging strategies
Journal of Economic Dynamics and Control | 2008-10-24 | Paper |
Credit risk optimization using factor models
Annals of Operations Research | 2008-03-31 | Paper |
Scenario optimization asset and liability modelling for individual investors
Annals of Operations Research | 2008-03-31 | Paper |
| Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz | 2008-03-06 | Paper |
A dynamic stochastic programming model for international portfolio management
European Journal of Operational Research | 2007-12-10 | Paper |
Asset and liability modelling for participating policies with guarantees
European Journal of Operational Research | 2007-11-23 | Paper |
Stability analysis of portfolio management with conditional value-at-risk
Quantitative Finance | 2007-10-22 | Paper |
| scientific article; zbMATH DE number 5010423 (Why is no real title available?) | 2006-03-09 | Paper |
| scientific article; zbMATH DE number 5007564 (Why is no real title available?) | 2006-02-20 | Paper |
| scientific article; zbMATH DE number 2130849 (Why is no real title available?) | 2005-01-25 | Paper |
On the simulation of portfolios of interest rate and credit risk sensitive securities
European Journal of Operational Research | 2004-11-22 | Paper |
Estimation of asset demands by heterogeneous agents
European Journal of Operational Research | 2004-11-22 | Paper |
Risk factor analysis and portfolio immunization in the corporate bond market
European Journal of Operational Research | 2004-11-22 | Paper |
PARALLELIZATION STRATEGIES OF A ROW-ACTION METHOD FOR MULTICOMMODITY NETWORK FLOW PROBLEMS
Parallel Algorithms and Applications | 2004-10-06 | Paper |
Limited recourse in two-stage stochastic linear programs
Journal of Information and Optimization Sciences | 2004-06-14 | Paper |
Integrated simulation and optimization models for tracking international fixed income indices
Mathematical Programming. Series A. Series B | 2003-07-06 | Paper |
| scientific article; zbMATH DE number 1836446 (Why is no real title available?) | 2002-11-27 | Paper |
Using data envelopment analysis for costing bank products
European Journal of Operational Research | 2000-05-14 | Paper |
| scientific article; zbMATH DE number 1382772 (Why is no real title available?) | 2000-01-04 | Paper |
Scalable parallel computations for large-scale stochastic programming
Annals of Operations Research | 1999-12-02 | Paper |
Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
Operations Research | 1999-11-08 | Paper |
An interior point method with Bregman functions for the variational inequality problem with paramonotone operators
Mathematical Programming. Series A. Series B | 1999-09-05 | Paper |
| scientific article; zbMATH DE number 1304959 (Why is no real title available?) | 1999-06-17 | Paper |
Scenario modeling for the management of international bond portfolios
Annals of Operations Research | 1999-05-27 | Paper |
Stochastic linear programs with restricted recourse
European Journal of Operational Research | 1999-04-27 | Paper |
Robust optimization models for managing callable bond portfolios
European Journal of Operational Research | 1999-02-22 | Paper |
Dynamic models for fixed-income portfolio management under uncertainty
Journal of Economic Dynamics and Control | 1999-01-12 | Paper |
Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models
Operations Research | 1999-01-01 | Paper |
A stochastic programming model for money management
European Journal of Operational Research | 1998-11-05 | Paper |
| scientific article; zbMATH DE number 1206118 (Why is no real title available?) | 1998-10-14 | Paper |
A smooth penalty function algorithm for network-structured problems
European Journal of Operational Research | 1998-10-06 | Paper |
| scientific article; zbMATH DE number 1163813 (Why is no real title available?) | 1998-08-04 | Paper |
A model for designing callable bonds and its solution using tabu search
Journal of Economic Dynamics and Control | 1998-07-22 | Paper |
Scalable parallel Benders decomposition for stochastic linear programming
Parallel Computing | 1998-07-22 | Paper |
| scientific article; zbMATH DE number 1163102 (Why is no real title available?) | 1998-06-11 | Paper |
Integrating network optimization capabilities into a high-level modeling language
ACM Transactions on Mathematical Software | 1998-03-23 | Paper |
| scientific article; zbMATH DE number 1099377 (Why is no real title available?) | 1998-01-28 | Paper |
A scalable parallel interior point algorithm for stochastic linear programming and robust optimization
Computational Optimization and Applications | 1997-08-07 | Paper |
A stochastic programming model for funding single premium deferred annuities
Mathematical Programming. Series A. Series B | 1997-08-07 | Paper |
| scientific article; zbMATH DE number 1189158 (Why is no real title available?) | 1997-01-01 | Paper |
| scientific article; zbMATH DE number 1189133 (Why is no real title available?) | 1997-01-01 | Paper |
Solving multistage stochastic network programs on massively prallel computers
Mathematical Programming. Series A. Series B | 1996-10-13 | Paper |
Data Parallel Quadratic Programming on Box-Constrained Problems
SIAM Journal on Optimization | 1996-06-30 | Paper |
Asset/liability management under uncertainty for fixed-income securities
Annals of Operations Research | 1996-05-02 | Paper |
Interval underrelaxed bregman's method with an application
Optimization | 1996-01-07 | Paper |
Robust Optimization of Large-Scale Systems
Operations Research | 1995-09-25 | Paper |
| scientific article; zbMATH DE number 795218 (Why is no real title available?) | 1995-09-11 | Paper |
On Smoothing Exact Penalty Functions for Convex Constrained Optimization
SIAM Journal on Optimization | 1995-09-05 | Paper |
Robust Optimization for Power Systems Capacity Expansion under Uncertainty
The Journal of the Operational Research Society | 1995-06-27 | Paper |
Parallel Factorization of Structured Matrices Arising in Stochastic Programming
SIAM Journal on Optimization | 1995-06-07 | Paper |
Data-level parallel solution of min-cost network flow problems using \(\varepsilon\)-relaxations
European Journal of Operational Research | 1995-05-30 | Paper |
Capturing the Correlations of Fixed-income Instruments
Management Science | 1995-05-28 | Paper |
| scientific article; zbMATH DE number 724212 (Why is no real title available?) | 1995-02-23 | Paper |
A Network Model to Maximize Navy Personnel Readiness and Its Solution
Management Science | 1994-08-21 | Paper |
Data parallel computing for network-structured optimization problems
Computational Optimization and Applications | 1994-07-26 | Paper |
Proximal minimization algorithm with \(D\)-functions
Journal of Optimization Theory and Applications | 1994-04-27 | Paper |
Proximal minimizations with \(D\)-functions and the massively parallel solution of linear network programs
Computational Optimization and Applications | 1994-03-21 | Paper |
| scientific article; zbMATH DE number 515934 (Why is no real title available?) | 1994-03-10 | Paper |
Mean-absolute deviation portfolio optimization for mortgage-backed securities
Annals of Operations Research | 1994-01-26 | Paper |
A model for portfolio management with mortgage-backed securities
Annals of Operations Research | 1994-01-06 | Paper |
| scientific article; zbMATH DE number 434546 (Why is no real title available?) | 1993-11-11 | Paper |
Constructing Optimal Samples from a Binomial Lattice
Journal of Information and Optimization Sciences | 1993-09-30 | Paper |
A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems
Operations Research | 1993-08-09 | Paper |
| scientific article; zbMATH DE number 176478 (Why is no real title available?) | 1993-05-18 | Paper |
Massively Parallel Algorithms for Singly Constrained Convex Programs
ORSA Journal on Computing | 1993-04-01 | Paper |
Matrix Balancing on a Massively Parallel Connection Machine
ORSA Journal on Computing | 1993-04-01 | Paper |
Parallel Decomposition of Multicommodity Network Flows Using a Linear-Quadratic Penalty Algorithm
ORSA Journal on Computing | 1993-04-01 | Paper |
| scientific article; zbMATH DE number 124637 (Why is no real title available?) | 1993-02-21 | Paper |
Data structures for network algorithms on massively parallel architectures
Parallel Computing | 1993-01-17 | Paper |
Scalings of matrices satisfying line-product constraints and generalizations
Linear Algebra and its Applications | 1993-01-16 | Paper |
Parallel Numerical Optimization: Current Status and an Annotated Bibliography
ORSA Journal on Computing | 1993-01-16 | Paper |
Parallel Block-Partitioning of Truncated Newton for Nonlinear Network Optimization
SIAM Journal on Scientific and Statistical Computing | 1993-01-16 | Paper |
Massively Parallel Row-Action Algorithms for Some Nonlinear Transportation Problems
SIAM Journal on Optimization | 1992-09-27 | Paper |
On the Fine-Grain Decomposition of Multicommodity Transportation Problems
SIAM Journal on Optimization | 1992-09-27 | Paper |
Synchronous and asynchronous implementations of relaxation algorithms for nonlinear network optimization
Parallel Computing | 1992-06-27 | Paper |
Simplicial Decomposition for Convex Generalized Networks
Journal of Information and Optimization Sciences | 1992-06-25 | Paper |
Interval-constrained matrix balancing
Linear Algebra and its Applications | 1991-01-01 | Paper |
Parallel computing with block-iterative image reconstruction algorithms
Applied Numerical Mathematics | 1991-01-01 | Paper |
A Comparative Study of Algorithms for Matrix Balancing
Operations Research | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4200002 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4199994 (Why is no real title available?) | 1990-01-01 | Paper |
OR Practice—Large-Scale Nonlinear Network Models and Their Application
Operations Research | 1989-01-01 | Paper |
On the use of expert systems in network optimization: With an application to matrix balancing
Annals of Operations Research | 1989-01-01 | Paper |
A distributed algorithm for convex network optimization problems
Parallel Computing | 1988-01-01 | Paper |
Vectorization and multitasking of nonlinear network programming algorithms
Mathematical Programming. Series A. Series B | 1988-01-01 | Paper |
Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MP
Operations Research | 1986-01-01 | Paper |
Solving Large Scale Generalized Networks
Journal of Information and Optimization Sciences | 1985-01-01 | Paper |
