Risk management and optimization in finance
R. Tyrrell Rockafellar, Pavlo Krokhmal, Stan Uryasev
pág. 315
Dynamic portfolio selection with process control
Yonggan Zhao, William Ziemba, Leonard MacLean
págs. 317-339
An approximation method for analysis and valuation of credit correlation derivatives
Masahiko Egami, Kian Esteghamat
págs. 341-364
págs. 365-390
págs. 391-407
Pricing methods and hedging strategies for volatility derivatives
H. Windcliff, K.R. Vetzal, P.A. Forsyth
págs. 409-431
Portfolio optimization with stochastic dominance constraints
Darinka Dentcheva, Andrzej Ruszczy¿ski
págs. 433-451
The magnitude of a market crash can be predicted
J. Beirlant, S.Y. Novak
págs. 453-462
Optimal credit limit management under different information regimes
Paolo Vanini, Markus Leippold, Silvan Ebnoether
págs. 463-487
D.A. Voss, S.H.K. Kazmi, A.Q.M. Khaliq
págs. 489-502
págs. 503-518
A moment computation algorithm for the error in discrete dynamic hedging
James A. Primbs, Yuji Yamada
págs. 519-540
Utility-based performance measures for regression models
Craig Friedman, Sven Sandow
págs. 541-560
The hidden dangers of historical simulation
Matthew Pritsker
págs. 561-582
Minimizing CVaR and VaR for a portfolio of derivatives
Y. Li, S. Alexander, T.F. Coleman
págs. 583-605
Implied migration rates from credit barrier models
Claudio Albanese, Oliver X. Chen
págs. 607-626
Applying CVaR for decentralized risk management of financial companies
Hafize G. Erkan, John M. Mulvey
págs. 627-644
Asset and liability management for insurance products with minimum guarantees: The UK case
David Saunders, Stavros A. Zenios, Andrea Consiglio
págs. 645-667
Portfolio selection using hierarchical Bayesian analysis and MCMC methods
William E. Strawderman, Douglas H. Jones, Alex Greyserman
págs. 669-678
Economy-wide bond default rates: A maximum expected utility approach
Craig Friedman, Peter Chang, Sven Sandow, Mark Gold
págs. 679-693
págs. 695-715
Integrating market and credit risk: A simulation and optimisation perspective
Stavros A. Zenios, Norbert J. Jobst, Gautam Mitra
págs. 717-742
Master funds in portfolio analysis with general deviation measures
Stan Uryasev, R. Tyrrell Rockafellar, Michael Zabarankin
págs. 743-778
Analysis of criteria VaR and CVaR
Evgeniy A. Kuznetsov, Andrey I. Kibzun
págs. 779-796
© 2001-2024 Fundación Dialnet · Todos los derechos reservados