Recent contributions to linear semi-infinite optimization: an update
This paper reviews the state-of-the-art in the theory of deterministic and uncertain linear
semi-infinite optimization, presents some numerical approaches to this type of problems …
semi-infinite optimization, presents some numerical approaches to this type of problems …
Market turbulence and investor decision-making in currency option market
This research delves into the effects of recent crises on investor behavior within the currency
options market, particularly focusing on the relationship with underlying exchange rates …
options market, particularly focusing on the relationship with underlying exchange rates …
Recent contributions to linear semi-infinite optimization
This paper reviews the state-of-the-art in the theory of deterministic and uncertain linear
semi-infinite optimization, presents some numerical approaches to this type of problems …
semi-infinite optimization, presents some numerical approaches to this type of problems …
[BOOK][B] Financial econometrics, mathematics and statistics
We draw upon our years of teaching, research, and practice on the subjects of financial
econometrics, mathematics and statistics for this textbook. Overall, our goal is to provide an …
econometrics, mathematics and statistics for this textbook. Overall, our goal is to provide an …
Improved Fréchet–Hoeffding bounds on -copulas and applications in model-free finance
T Lux, A Papapantoleon - 2017 - projecteuclid.org
We derive upper and lower bounds on the expectation of f(S) under dependence
uncertainty, that is, when the marginal distributions of the random vector S=(S_1,...,S_d) are …
uncertainty, that is, when the marginal distributions of the random vector S=(S_1,...,S_d) are …
Model-free bounds for multi-asset options using option-implied information and their exact computation
We consider derivatives written on multiple underlyings in a one-period financial market,
and we are interested in the computation of model-free upper and lower bounds for their …
and we are interested in the computation of model-free upper and lower bounds for their …
[BOOK][B] Post-optimal analysis in linear semi-infinite optimization
MA Goberna, MA López - 2014 - Springer
Linear semi-infinite optimization (LSIO) deals with linear optimization problems in which
either the dimension of the decision space or the number of constraints (but not both) is …
either the dimension of the decision space or the number of constraints (but not both) is …
Bounds on multi-asset derivatives via neural networks
Using neural networks, we compute bounds on the prices of multi-asset derivatives given
information on prices of related payoffs. As a main example, we focus on European basket …
information on prices of related payoffs. As a main example, we focus on European basket …
A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing
In this exposition a novel feasible version of traditional discretization methods for linear semi-
infinite programming problems is presented. It will be shown that each–usually infeasible …
infinite programming problems is presented. It will be shown that each–usually infeasible …
Improved model-free bounds for multi-asset options using option-implied information and deep learning
E Dragazi, S Liu, A Papapantoleon - arxiv preprint arxiv:2404.02343, 2024 - arxiv.org
We consider the computation of model-free bounds for multi-asset options in a setting that
combines dependence uncertainty with additional information on the dependence structure …
combines dependence uncertainty with additional information on the dependence structure …