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1
Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities
Guterding, Daniel
- In:
Risks : open access journal
11
(
2023
)
5
,
pp. 1-24
system of linear equations as an
optimization
problem, in which the SVD-transformed density minimizes the error between the …
Persistent link: https://www.econbiz.de/10014332042
Saved in:
2
Consumption
optimization
for recursive utility in a jump-diffusion model
Antonelli, Fabio
;
Mancini, Carlo
- In:
Decisions in economics and finance : DEF ; a journal of …
39
(
2016
)
2
,
pp. 293-310
Persistent link: https://www.econbiz.de/10011642633
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3
Calibration of stochastic volatility models : a Tikhonov regularization approach
Dai, Min
;
Tang, Ling
;
Yue, Xingye
- In:
Journal of economic dynamics & control
64
(
2016
),
pp. 66-81
Persistent link: https://www.econbiz.de/10011708221
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4
On the inverse problem of Dupire's education with nonlocal boundary and integral conditions
Guler, Coskun
;
Oban, Volkan
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 934-940
Persistent link: https://www.econbiz.de/10011859946
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5
Optimization
-based scenario reduction for data-driven two-stage stochastic
optimization
Bertsimas, Dimitris
;
Mundru, Nishanth
- In:
Operations research
71
(
2023
)
4
,
pp. 1343-1361
Persistent link: https://www.econbiz.de/10014338202
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6
Stochastic joint replenishment problem under a fill rate constraint with controllable lead times and shared cost allocation
Castellano, Davide
;
Santillo, Liberatina C.
- In:
Operations research letters
51
(
2023
)
4
,
pp. 385-392
Persistent link: https://www.econbiz.de/10014426570
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7
Introduction: 2022 Daniel H. Wagner prize for excellence in the practice of advanced analytics and operations research
Bjarnadóttir, Margrét Vilborg
;
Stone, Lawrence D.
- In:
INFORMS journal on applied analytics
53
(
2023
)
5
,
pp. 333-335
Persistent link: https://www.econbiz.de/10014383146
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8
Modeling optimal drone fleet size considering stochastic demand
Hadas, Yuval
;
Figliozzi, Miguel A.
- In:
EURO journal on transportation and logistics
13
(
2024
),
pp. 1-12
costs. A novel contribution of this research is to provide an
optimization
approach, extending the newsvendor model, to …
Persistent link: https://www.econbiz.de/10015193418
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9
Polynomial
optimization
: matrix factorization ranks, portfolio selection, and queueing theory
Steenkamp, Andries
-
2023
Persistent link: https://www.econbiz.de/10014388473
Saved in:
10
Shelter location-allocation problem for disaster evacuation planning : a simulation
optimization
approach
Kuo-Hao, Chang,
;
Pan, Yow-Jen
;
Chen, Hongey
- In:
Computers & operations research : an international journal
171
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10015066486
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