scientific article; zbMATH DE number 1789932

zbMATH Open1136.35320arXivmath/0305010MaRDI QIDQ4549243FDOQ4549243

Nicole El Karoui

Publication date: 27 August 2002

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

Title of this publication is not available (Why is that?)

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)

Cited In (2)

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

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