scientific article; zbMATH DE number 1849076

zbMATH Open1016.91044MaRDI QIDQ4787285FDOQ4787285

Srdjan D. Stojanovic

Publication date: 6 January 2003

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

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zbMATH Keywords

optimal tradingpartial differential equationscomputational financeMathematica

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Symbolic computation and algebraic computation (68W30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Cited In (8)

• Nonlinear optimization with GAMS /LGO
• Interest rates risk-premium and shape of the yield curve
• Asset price volatility and price extrema
• A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
• Global Optimization in Practice:State of the Art and Perspectives
• New properties of convex functions in the Heisenberg group
• Risk premium and fair option prices under stochastic volatility: the HARA solution.
• The sub-elliptic obstacle problem: \(C^{1,\alpha }\) regularity of the free boundary in Carnot groups of step two

Uses Software

• Mathematica

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