Pages that link to "Item:Q1849531"

The following pages link to Duality and martingales: a stochastic programming perspective on contingent claims (Q1849531):

Displaying 49 items.

• A moment-matching method to generate arbitrage-free scenarios (Q319831) (← links)
• A new elementary geometric approach to option pricing bounds in discrete time models (Q320923) (← links)
• An integer programming model for pricing American contingent claims under transaction costs (Q429815) (← links)
• Martingale matrix classes and polytopes (Q445833) (← links)
• Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming (Q496684) (← links)
• Bounding contingent claim prices via hedging strategy with coherent risk measures (Q662867) (← links)
• Gain-loss based convex risk limits in discrete-time trading (Q693201) (← links)
• Introduction to convex optimization in financial markets (Q715237) (← links)
• Pricing European options by numerical replication: quadratic programming with constraints (Q853858) (← links)
• Evaluation of insurance products with guarantee in incomplete markets (Q939370) (← links)
• Modeling financial reinsurance in the casualty insurance business via stochastic programming (Q951512) (← links)
• Mortgage loan portfolio optimization using multi-stage stochastic programming (Q1017001) (← links)
• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (Q1038336) (← links)
• Pricing and hedging GDP-linked bonds in incomplete markets (Q1657210) (← links)
• Management of a hydropower system via convex duality (Q1731594) (← links)
• Incorporating statistical model error into the calculation of acceptability prices of contingent claims (Q1739048) (← links)
• Epi-convergent discretizations of stochastic programs via integration quadratures (Q1770258) (← links)
• Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets (Q1936793) (← links)
• Stochastic programming and the option of doing it differently (Q1958614) (← links)
• Living on the edge: how risky is it to operate at the limit of the tolerated risk? (Q1958617) (← links)
• Arbitrage conditions for electricity markets with production and storage (Q2010377) (← links)
• Valuation and pricing of electricity delivery contracts: the producer's view (Q2327681) (← links)
• Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach (Q2430628) (← links)
• Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming (Q2440802) (← links)
• Pricing of claims in discrete time with partial information (Q2441467) (← links)
• Robust scenario optimization based on downside-risk measure for multi-period portfolio selection (Q2460070) (← links)
• Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control (Q2464235) (← links)
• Competitive prices for a stochastic input-output model with infinite time horizon (Q2472442) (← links)
• The duality of option investment strategies for hedge funds (Q2476989) (← links)
• Multiperiod portfolio optimization with terminal liability: bounds for the convex case (Q2574057) (← links)
• A refinement of the Farkas lemma (Q2668886) (← links)
• Path-dependent scenario trees for multistage stochastic programmes in finance (Q2873550) (← links)
• A convex duality approach for pricing contingent claims under partial information and short selling constraints (Q2974045) (← links)
• Pricing American contingent claims by stochastic linear programming (Q3391893) (← links)
• Measures of model uncertainty and calibrated option bounds (Q3625231) (← links)
• Hedging European and Barrier options using stochastic optimization (Q4610264) (← links)
• Pricing Reinsurance Contracts (Q4613815) (← links)
• CALIBRATED OPTION BOUNDS (Q4675929) (← links)
• A parsimonious model for generating arbitrage-free scenario trees (Q5001123) (← links)
• Modeling and evaluation of the option book hedging problem using stochastic programming (Q5001128) (← links)
• Equal risk pricing and hedging of financial derivatives with convex risk measures (Q5068070) (← links)
• Optimization Methods in Finance (Q5234332) (← links)
• (Q5389861) (← links)
• Buyer's quantile hedge portfolios in discrete-time trading (Q5397414) (← links)
• Option pricing by mathematical programming† (Q5449021) (← links)
• Optimization Methods in Mathematical Finance (Q5746722) (← links)
• On optimal partial hedging in discrete markets (Q5746723) (← links)
• Calibrated American option pricing by stochastic linear programming (Q5746725) (← links)
• Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling (Q6106755) (← links)