scientific article; zbMATH DE number 1789932

MaRDI QIDQ4549243zbMATHFDO

Authors Nicole El Karoui

Publication date 27 August 2002

Full work available at URL https://arxiv.org/abs/math/0305010

zbMATH Keywords

optimizationMonte Carlo methodsill-posed problemsmathematical financestochastic calculus

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Martingales with continuous parameter (60G44) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(3)

• Dynamic Financial Risk Management
• Measuring the position risks on capital markets: A mathematical programming approach
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