Some finance problems solved with nonsmooth optimization techniques

DOI10.1023/B:JOTA.0000005037.49022.1AMaRDI QIDQ597156zbMATH OpenOpenAlexFDO

Authors Sumit K. Garg, Richard B. Vinter, Harry Zheng

Publication date 6 August 2004

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:jota.0000005037.49022.1a

zbMATH Keywords

bond durationgeneral term structure changesNonsmooth optimizationtransaction costsutility maximization

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Nonlinear programming (90C30)

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Cites work

• European Option Pricing with Transaction Costs
• scientific article; zbMATH DE number 3780047 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Nonsmooth analysis and control theory
• On the Optimal Design of Columns Against Buckling
• Optimal control
• Optimal control problems with differential inclusions: Sufficiency conditions and an application to a production-inventory model
• Optimization and nonsmooth analysis
• The Optimal Exploitation of Renewable Resource Stocks: Problems of Irreversible Investment

Cited in

(2)

• Macaulay durations for nonparallel shifts
• Necessary optimality conditions in discrete nonsmooth optimal control

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