Introduction to convex optimization in financial markets
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Cites work
- scientific article; zbMATH DE number 3465097 (Why is no real title available?)
- scientific article; zbMATH DE number 1246413 (Why is no real title available?)
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- Superhedging in illiquid markets
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Cited in
(14)- Management of a hydropower system via convex duality
- Arbitrage conditions for electricity markets with production and storage
- Introduction to financial optimization: Mathematical programming special issue
- Forward-Douglas–Rachford splitting and forward-partial inverse method for solving monotone inclusions
- Forward-partial inverse-forward splitting for solving monotone inclusions
- Valuation and pricing of electricity delivery contracts: the producer's view
- Financial optimization
- A convex duality approach for pricing contingent claims under partial information and short selling constraints
- Convex analysis and financial equilibrium
- Pricing index options by static hedging under finite liquidity
- Classifying financial markets up to isomorphism
- Convex analysis in financial mathematics
- Log-optimal and rapid paths in von Neumann-Gale dynamical systems
- Convex risk measures for portfolio optimization and concepts of flexibility
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