Intro -- NONLINEAR MODELSIN MATHEMATICAL FINANCE:NEW RESEARCH TRENDSIN OPTION PRICING -- NONLINEAR MODELSIN MATHEMATICAL FINANCE:NEW RESEARCH TRENDSIN OPTION PRICING -- CONTENTS -- PREFACE NONLINEAR MODELS IN OPTION PRICING -- ABSTRACT -- INTRODUCTION -- PART I: NONLINEAR BLACK-SCHOLES MODELS --...

In this paper we present a method for using rational expectations in a linear-quadratic optimizationframework. Following the approach put forward by Sims, we solve the model through a QZdecomposition, which is generally easier to implement than the more widely used method of Blanchardand Kahn.

In this paper we consider optimization problems defined by a quadraticobjective function and a finite number of quadratic inequality constraints.Given that the objective function is bounded over the feasible set, we presenta comprehensive study of the conditions under which the optimal solution...

In this paper, we establish a strong duality theorem for a pair of Mond–Weir type second-order nondifferentiable symmetric dual problems. This removes certain inconsistencies in some of the earlier results.

The main aim of this paper is to generalize the notion of pseudolinearity to nondifferentiable functions and to obtain characterizations for such functions. Under the assumption of pseudolinearity, a characterization for the solution sets of an optimization problem and a variational inequality...