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Optimisation of Stochastic Systems and Worst-case Analysis
Zakovic, S; Rustem, B.; Wieland, V. - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005132814
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An algorithm for the quasivariational inequality arising in option pricing with transaction costs II
Noguchi, Tetsuya; Rustem, Berc - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537651
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Worst-case Optimal Robust Decisions for Multi-period Portfolio Optimization
Gulpinar, Nalan; Rustem, Berc - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537691
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An algorithm for the quasivariational inequality arising in option pricing with transaction costs I
Noguchi, Tetsuya; Rustem, Berc - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706598