Jörgen Blomvall

Available identifiers

Publication	Date of Publication	Type
Reducing transaction costs for interest rate risk hedging with stochastic programming	2022-06-08	Paper
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	2022-04-05	Paper
Modeling and evaluation of the option book hedging problem using stochastic programming	2021-07-16	Paper
Recovering the real-world density and liquidity premia from option data	2021-07-16	Paper
Importance sampling in stochastic optimization: an application to intertemporal portfolio choice	2020-05-26	Paper
Simulation and evaluation of the distribution of interest rate risk	2019-02-18	Paper
Positive forward rates in the maximum smoothenss framework	2019-01-15	Paper
Corporate hedging: an answer to the ``how question	2018-11-12	Paper
Measurement of interest rates using a convex optimization model	2018-05-24	Paper
Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999	2008-10-24	Paper
Solving multistage asset investment problems by the sample average approximation method	2006-09-12	Paper
A Riccati-based primal interior point solver for multistage stochastic programming ‐ extensions	2004-02-04	Paper
A Riccati-based primal interior point solver for multistage stochastic programming	2002-11-20	Paper

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