Search results for "Mathematical finance"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
3	Michael D. Marcozzi	On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical Finance.	J. Sci. Comput.	2008	DBLP DOI BibTeX RDF	Infinite dimensional diffusion, Mathematical finance, Finite element method, Variational methods, Optimal stopping
2	Lisa A. Korf	Stochastic programming duality: 8 multipliers for unbounded constraints with an application to mathematical finance.	Math. Program.	2004	DBLP DOI BibTeX RDF	arbitrage, fundamental theorem of asset pricing, duality, stochastic programming, Lagrange multipliers
1	Teemu Pennanen	Convex Duality in Stochastic Optimization and Mathematical Finance.	Math. Oper. Res.	2011	DBLP DOI BibTeX RDF
1	Miglena N. Koleva, Lubin G. Vulkov	A Numerical Study of a Parabolic Monge-Ampère Equation in Mathematical Finance.	NMA	2010	DBLP DOI BibTeX RDF
1	Isabel Hernández, Consuelo Mateos, Juan Núñez, Ángel F. Tenorio	Lie Theory: Applications to problems in Mathematical Finance and Economics.	Applied Mathematics and Computation	2009	DBLP DOI BibTeX RDF
1	J. F. Traub, Arthur G. Werschulz	Information-based Complexity and Information-based Optimization.	Encyclopedia of Optimization	2009	DBLP DOI BibTeX RDF	Information-based complexity, Information-based optimization, Real number model, High-dimensional integration, Mathematical finance, Linear programming, Nonlinear optimization, Curse of dimensionality
1	Yasushi Endow	On Stochastic Variation in Discrete Time Systems.	EUROCAST	2009	DBLP DOI BibTeX RDF	Stochastic variation, Martingale representation, Random walk, Walsh functions
1	Barbara Forster, Eva Lütkebohmert, Josef Teichmann	Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance.	SIAM J. Math. Analysis	2008	DBLP DOI BibTeX RDF
1	Nir Halman, Diego Klabjan, Chung-Lun Li, James B. Orlin, David Simchi-Levi	Fully polynomial time approximation schemes for stochastic dynamic programs.	SODA	2008	DBLP DOI BibTeX RDF
1	Yana Volkovich, Nelly Litvak, Bert Zwart	Measuring extremal dependencies in web graphs.	WWW	2008	DBLP DOI BibTeX RDF	web, wikipedia, pagerank, preferential attachment, regular variation
1	Øyvind Ryan, Mérouane Debbah	Channel Capacity Estimation Using Free-Probability Theory.	IEEE Transactions on Signal Processing	2008	DBLP DOI BibTeX RDF
1	Lukasz Stettner	Problems of Mathematical Finance by Stochastic Control Methods.	System Modelling and Optimization	2007	DBLP DOI BibTeX RDF
1	Jose Blanchet, Bert Zwart	Importance sampling of compounding processes.	Winter Simulation Conference	2007	DBLP DOI BibTeX RDF
1	Tadashi Dohi, Shunji Osaki, Nikolaos Limnios	Mathematical Finance and Risk Assessment.	European Journal of Operational Research	2006	DBLP DOI BibTeX RDF
1	Pierre Bernhard	On the Singularities of an impulsive differential Game arising in Mathematical Finance.	IGTR	2006	DBLP DOI BibTeX RDF
1	Anthony Man-Cho So, Jiawei Zhang, Yinyu Ye	Stochastic Combinatorial Optimization with Controllable Risk Aversion Level.	APPROX-RANDOM	2006	DBLP DOI BibTeX RDF
1	Teemu Pennanen	Financial Optimization.	OR	2006	DBLP DOI BibTeX RDF
1	Rüdiger Schultz, Stephan Tiedemann	Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse.	Math. Program.	2006	DBLP DOI BibTeX RDF	Mean-risk models, Mixed-integer optimization, Stochastic programming, Conditional value-at-risk
1	Shing-Hoi Lee, Peter W. Glynn	Computing the distribution function of a conditional expectation via monte carlo: Discrete conditioning spaces.	ACM Trans. Model. Comput. Simul.	2003	DBLP DOI BibTeX RDF	Probability algorithms, distribution functions, conditional expectation
1	P. P. Boyle, W. Tian, Fred Guan	The Riccati Equation in Mathematical Finance.	J. Symb. Comput.	2002	DBLP DOI BibTeX RDF
1	Philip Derbeko, Ran El-Yaniv, Ron Meir	Variance Optimized Bagging.	ECML	2002	DBLP DOI BibTeX RDF
1	Andreas Pecht	Some applications of occupation times of Brownian motion with drift in mathematical finance.	JAMDS	1999	DBLP DOI BibTeX RDF