Introduction to convex optimization in financial markets

Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Financial applications of other theories (91G80)

Cites Work

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Cited In (11)

PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY
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
Valuation and pricing of electricity delivery contracts: the producer's view
Forward-partial inverse-forward splitting for solving monotone inclusions
A convex duality approach for pricing contingent claims under partial information and short selling constraints
Convex analysis and financial equilibrium
Classifying financial markets up to isomorphism
Log-optimal and rapid paths in von Neumann-Gale dynamical systems

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