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LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications
16 references·1 citing·35 second hop
LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications (2005)LP Modeling for Asset-Liability Managemen…From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)From ‘Some Theoretical Proble…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Worldwide asset and liability modeling (1998)Worldwide asset and liability…Introduction to Stochastic Programming (1997)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…Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Scenarios and Policy Aggregat…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Decomposition and Partitionin…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Value and Capital (1939)Value and CapitalDeveloping a two stage stochastic programming model of the price and lead-time decision problem in the multi-class make-to-order firm (2011)Developing a two stage stocha…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Theory of rational option pricing (2005)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)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)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Arbitrage Theory in Continuous Time (2004)Dual decomposition in stochastic integer programming (1999)Scenarios for Multistage Stochastic Programs (2000)Optimization under uncertainty: state-of-the-art and opportunities (2003)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)
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References

  • 2011Introduction to Stochastic Programming6,469 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1939Value and Capital2,893 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1991Scenarios and Policy Aggregation in Optimization Under Uncertainty1,341 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1997Introduction to Stochastic Programming959 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs588 cited
  • 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’504 cited
  • 1998Worldwide asset and liability modeling

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370 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
  • Cited by

    • 2011Developing a two stage stochastic programming model of the price and lead-time decision problem in the multi-class make-to-order firm22 cited