This paper presents a new sequential method for constrained non-linear optimization problems.The principal characteristics of these problems are very time consuming function evaluations and the absence of derivative information. Such problems are common in design optimization, where time...

Our concern lies in solving the following convex optimization problem: minimize cx subject to Ax=b, x \in P, where P is a closed convex set. We bound the complexity of computing an almost-optimal solution of this problem in terms of natural geometry-based measures of the feasible region and the...

This paper analyzes short term portfolio investment opportunities in a capital market where a currency is defined as a currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine a self-financed optimal investment strategy which...

A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized semi-implicitly using high order compact finite difference schemes. In particular, the compact schemes of Rigal are generalized. The numerical results are compared to standard...

We establish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable estimator considered in Newey (1990) as well as to the distribution of a Wald statistic derived from it. We employ local polynomial smoothing...