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No-arbitrage conditions, scenario trees, and multi-asset financial optimization
16 references·0 citing·30 second hop
No-arbitrage conditions, scenario trees, and multi-asset financial optimization (2010)No-arbitrage conditions, scenario trees, …Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingScenario reduction in stochastic programming (2003)Scenario reduction in stochas…Scenario Reduction Algorithms in Stochastic Programming (2003)Scenario Reduction Algorithms…A Heuristic for Moment-Matching Scenario Generation (2003)A Heuristic for Moment-Matchi…Scenario tree generation for multiperiod financial optimization by optimal discretization (2001)Scenario tree generation for …Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Scenarios for Multistage Stochastic Programs (2000)Scenarios for Multistage Stoc…Scenario reduction in stochastic programming: An approach using probability metrics (2000)Scenario reduction in stochas…Introduction to Stochastic Programming (1998)Introduction to Stochastic Pr…The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)The Russell-Yasuda Kasai Mode…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Portfolio Selection: Efficient Diversification of Investments (1959)Exceptional Paper—Probability Encoding in Decision Analysis (1975)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)A framework for sensitivity analysis of decision trees (2017)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)Conditional value-at-risk for general loss distributions (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Evaluation of scenario-generation methods for stochastic programming (2003)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Frameworks and Results in Distributionally Robust Optimization (2022)Ambulance location and relocation models (2003)Stochastic Programming Models (2003)A two-stage stochastic programming framework for transportation planning in disaster response (2004)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 2011Introduction to Stochastic Programming6,469 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2010Stochastic Programming2,228 cited
  • 1998Introduction to Stochastic Programming1,664 cited
  • 2003Scenario reduction in stochastic programming1,045 cited
  • 2003Scenario Reduction Algorithms in Stochastic Programming983 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 2000Scenario reduction in stochastic programming: An approach using probability metrics512 cited
  • 2000Scenarios for Multistage Stochastic Programs471 cited
  • 2003A Heuristic for Moment-Matching Scenario Generation404 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
  • 2001Scenario tree generation for multiperiod financial optimization by optimal discretization337 cited

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1986
A Bank Asset and Liability Management Model
316 cited

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