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Conic optimization with applications in finance and approximation theory

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  • Kirschner, Felix

    (Tilburg University, School of Economics and Management)

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  • Kirschner, Felix, 2023. "Conic optimization with applications in finance and approximation theory," Other publications TiSEM e9bef4a5-ee46-45be-90d7-9, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:e9bef4a5-ee46-45be-90d7-9c38192525ba
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    References listed on IDEAS

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    1. Klerk, Etienne de, 2010. "Exploiting special structure in semidefinite programming: A survey of theory and applications," European Journal of Operational Research, Elsevier, vol. 201(1), pages 1-10, February.
    2. Cordian Riener & Thorsten Theobald & Lina Jansson Andrén & Jean B. Lasserre, 2013. "Exploiting Symmetries in SDP-Relaxations for Polynomial Optimization," Mathematics of Operations Research, INFORMS, vol. 38(1), pages 122-141, February.
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    4. Dimitris Bertsimas & Ioana Popescu, 2002. "On the Relation Between Option and Stock Prices: A Convex Optimization Approach," Operations Research, INFORMS, vol. 50(2), pages 358-374, April.
    5. Gondzio, Jacek, 2012. "Interior point methods 25 years later," European Journal of Operational Research, Elsevier, vol. 218(3), pages 587-601.
    6. J. Gondzio & F. N. C. Sobral, 2019. "Quasi-Newton approaches to interior point methods for quadratic problems," Computational Optimization and Applications, Springer, vol. 74(1), pages 93-120, September.
    7. Mark H. A. Davis & David G. Hobson, 2007. "The Range Of Traded Option Prices," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 1-14, January.
    8. Luis F. Zuluaga & Javier F. Peña, 2005. "A Conic Programming Approach to Generalized Tchebycheff Inequalities," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 369-388, May.
    9. Peter Laurence & Tai-Ho Wang, 2005. "Sharp Upper and Lower Bounds for Basket Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(3), pages 253-282.
    10. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    11. Brosch, Daniel, 2022. "Symmetry reduction in convex optimization with applications in combinatorics," Other publications TiSEM 94f1daba-d4c5-4b91-a20f-4, Tilburg University, School of Economics and Management.
    12. Hobson, David & Laurence, Peter & Wang, Tai-Ho, 2005. "Static-arbitrage optimal subreplicating strategies for basket options," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 553-572, December.
    13. de Klerk, Etienne & Hess, Roxana & Laurent, Monique, 2017. "Improved convergence rates for Lasserre-type hierarchies of upper bounds for box-constrained polynomial optimization," Other publications TiSEM 66281fb7-02b8-4d87-930b-0, Tilburg University, School of Economics and Management.
    14. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    15. Slot, Lucas, 2022. "Asymptotic analysis of semidefinite bounds for polynomial optimization and independent sets in geometric hypergraphs," Other publications TiSEM 9cc5bfea-dcbc-44c1-80ff-3, Tilburg University, School of Economics and Management.
    16. Lo, Andrew W., 1987. "Semi-parametric upper bounds for option prices and expected payoffs," Journal of Financial Economics, Elsevier, vol. 19(2), pages 373-387, December.
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