Computing optimal recovery policies for financial markets

DOI10.1287/OPRE.1120.1112MaRDI QIDQ4909109zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Geir Dahl, Carlo Mannino

Publication date 12 March 2013

Published in Operations Research (Search for Journal in Brave)

Full work available at URL http://www.dis.uniroma1.it/~bibdis/RePEc/aeg/wpaper/2010-20.pdf

zbMATH Keywords

bilevel programmingfinancial modelsdiscrete optimizationMarkov random field

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Corporate finance (dividends, real options, etc.) (91G50)

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