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  • Search: subject:"directional convexity"
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Year of publication
Subject
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directional convexity 4 Bayesian implementation 2 Linear transformation 2 Mathematical programming 2 Mathematische Optimierung 2 convex closed set 2 dominant-strategy implementation 2 intersection 2 mechanism design 2 Asianoption 1 Directional convexity 1 Directionally convex functions 1 Excess-loss reinsurance 1 Game theory 1 Increasing convex order 1 L-superadditive functions 1 Markov processes 1 Martingal 1 Martingale 1 Martingale optimal transport 1 Mechanism design 1 Mechanismus-Design-Theorie 1 Neue politische Ökonomie 1 Optimization 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Public choice 1 Sample path convexity and concavity 1 Spieltheorie 1 Stochastic directional convexity 1 Stop-loss reinsurance 1 Wasserstein distance 1 branching processes 1 convex cooperative games 1 convex order 1 directional convexity and concavity 1 exotic options 1 multilinear extension 1
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Online availability
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Undetermined 4 Free 2
Type of publication
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Article 4 Book / Working Paper 3
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 4 English 3
Author
All
Kushnir, Alexey 2 Liu, Shuo 2 Bäuerle, Nicole 1 Escudero, Laureano 1 Naidenko, Vladimir 1 Ortega, Eva-María 1 Pallarola, Carlos Rafels 1 Salas, Fco. Javier Martinez de Albeniz 1 Schmithals, Daniel Matthias 1 Shaked, Moshe 1 Shanthikumar, J. 1
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Institution
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Facultat d'Economia i Empresa, Universitat de Barcelona 1
Published in...
All
Annals of the Institute of Statistical Mathematics 1 Central European Journal of Operations Research 1 International journal of theoretical and applied finance 1 TOP: An Official Journal of the Spanish Society of Statistics and Operations Research 1 Working Paper 1 Working Papers in Economics 1 Working paper series / University of Zurich, Department of Economics 1
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Source
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RePEc 4 ECONIS (ZBW) 2 EconStor 1
Showing 1 - 7 of 7
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Consistent upper price bounds for exotic options
Bäuerle, Nicole; Schmithals, Daniel Matthias - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10012650310
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On linear transformations of intersections
Kushnir, Alexey; Liu, Shuo - 2017
For any linear transformation and two convex closed sets, we provide necessary and sufficient conditions for when the transformation of the intersection of the sets coincides with the intersection of their images. We also identify analogous conditions for non-convex sets, general...
Persistent link: https://www.econbiz.de/10011784291
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On linear transformations of intersections
Kushnir, Alexey; Liu, Shuo - 2017
For any linear transformation and two convex closed sets, we provide necessary and sufficient conditions for when the transformation of the intersection of the sets coincides with the intersection of their images. We also identify analogous conditions for non-convex sets, general...
Persistent link: https://www.econbiz.de/10011729080
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How retention levels influence the variability of the total risk under reinsurance
Escudero, Laureano; Ortega, Eva-María - In: TOP: An Official Journal of the Spanish Society of … 17 (2009) 1, pp. 139-157
Persistent link: https://www.econbiz.de/10004995451
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Optimization on directionally convex sets
Naidenko, Vladimir - In: Central European Journal of Operations Research 17 (2009) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10008515709
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A Note on Shapleys Convex Measure Games
Salas, Fco. Javier Martinez de Albeniz; Pallarola, … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2002
L. S. Shapley, in his paper Cores of Convex Games, introduces Convex Measure Games, those that are induced by a convex function on R, acting over a measure on the coalitions. But in a note he states that if this function is a function of several variables, then convexity for the function does...
Persistent link: https://www.econbiz.de/10005176386
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Parametric stochastic convexity and concavity of stochastic processes
Shaked, Moshe; Shanthikumar, J. - In: Annals of the Institute of Statistical Mathematics 42 (1990) 3, pp. 509-531
Persistent link: https://www.econbiz.de/10005169209
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