Jörgen Blomvall

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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

Research outcomes over time

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