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Parameter identification in financial market models with a feasible point SQP algorithm
Gerlich, F.; Giese, A.; Maruhn, J.; Sachs, E. - In: Computational Optimization and Applications 51 (2012) 3, pp. 1137-1161
Persistent link: https://www.econbiz.de/10010539369
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A successive SDP-NSDP approach to a robust optimization problem in finance
Leibfritz, F.; Maruhn, J. - In: Computational Optimization and Applications 44 (2009) 3, pp. 443-466
Persistent link: https://www.econbiz.de/10008502547