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Convex analysis and optimization in Hadamard spaces / / Miroslav Bačák
| Convex analysis and optimization in Hadamard spaces / / Miroslav Bačák |
| Autore | Bacák Miroslav |
| Pubbl/distr/stampa | Berlin, [Germany] ; ; Boston, [Massachusetts] : , : Walter de Gruyter GmbH, , 2014 |
| Descrizione fisica | 1 online resource (194 p.) |
| Disciplina | 511/.6 |
| Collana | De Gruyter Series in Nonlinear Analysis and Applications |
| Soggetto topico |
Metric spaces
G-spaces Hadamard matrices |
| Soggetto genere / forma | Electronic books. |
| ISBN |
3-11-036162-0
3-11-039108-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Geometry of Nonpositive Curvature -- 2 Convex sets and convex functions -- 3 Weak convergence in Hadamard spaces -- 4 Nonexpansive mappings -- 5 Gradient flow of a convex functional -- 6 Convex optimization algorithms -- 7 Probabilistic tools in Hadamard spaces -- 8 Tree space and its applications -- References -- Index -- Back matter |
| Record Nr. | UNINA-9910464465303321 |
Bacák Miroslav
|
||
| Berlin, [Germany] ; ; Boston, [Massachusetts] : , : Walter de Gruyter GmbH, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Convex analysis and optimization in Hadamard spaces / / Miroslav Bačák
| Convex analysis and optimization in Hadamard spaces / / Miroslav Bačák |
| Autore | Bacák Miroslav |
| Pubbl/distr/stampa | Berlin, [Germany] ; ; Boston, [Massachusetts] : , : Walter de Gruyter GmbH, , 2014 |
| Descrizione fisica | 1 online resource (194 p.) |
| Disciplina | 511/.6 |
| Collana | De Gruyter Series in Nonlinear Analysis and Applications |
| Soggetto topico |
Metric spaces
G-spaces Hadamard matrices |
| Soggetto non controllato |
Convex analysis
Convex optimization Geodesic convexity Hadamard space Metric geometry Nonpositive curvature |
| ISBN |
3-11-036162-0
3-11-039108-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Geometry of Nonpositive Curvature -- 2 Convex sets and convex functions -- 3 Weak convergence in Hadamard spaces -- 4 Nonexpansive mappings -- 5 Gradient flow of a convex functional -- 6 Convex optimization algorithms -- 7 Probabilistic tools in Hadamard spaces -- 8 Tree space and its applications -- References -- Index -- Back matter |
| Record Nr. | UNINA-9910788824003321 |
|
Bacák Miroslav
|
||
| Berlin, [Germany] ; ; Boston, [Massachusetts] : , : Walter de Gruyter GmbH, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Convex analysis and optimization in Hadamard spaces / / Miroslav Bačák
| Convex analysis and optimization in Hadamard spaces / / Miroslav Bačák |
| Autore | Bacák Miroslav |
| Pubbl/distr/stampa | Berlin, [Germany] ; ; Boston, [Massachusetts] : , : Walter de Gruyter GmbH, , 2014 |
| Descrizione fisica | 1 online resource (194 p.) |
| Disciplina | 511/.6 |
| Collana | De Gruyter Series in Nonlinear Analysis and Applications |
| Soggetto topico |
Metric spaces
G-spaces Hadamard matrices |
| Soggetto non controllato |
Convex analysis
Convex optimization Geodesic convexity Hadamard space Metric geometry Nonpositive curvature |
| ISBN |
3-11-036162-0
3-11-039108-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Geometry of Nonpositive Curvature -- 2 Convex sets and convex functions -- 3 Weak convergence in Hadamard spaces -- 4 Nonexpansive mappings -- 5 Gradient flow of a convex functional -- 6 Convex optimization algorithms -- 7 Probabilistic tools in Hadamard spaces -- 8 Tree space and its applications -- References -- Index -- Back matter |
| Record Nr. | UNINA-9910827005003321 |
|
Bacák Miroslav
|
||
| Berlin, [Germany] ; ; Boston, [Massachusetts] : , : Walter de Gruyter GmbH, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling and Optimization in Space Engineering [[electronic resource] /] / edited by Giorgio Fasano, János D. Pintér
| Modeling and Optimization in Space Engineering [[electronic resource] /] / edited by Giorgio Fasano, János D. Pintér |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, NY : , : Springer New York : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (408 p.) |
| Disciplina |
005.4
005.4/3 |
| Collana | Springer Optimization and Its Applications |
| Soggetto topico |
Mathematical optimization
Aerospace engineering Astronautics Mathematical models Computers Control engineering Optimization Aerospace Technology and Astronautics Mathematical Modeling and Industrial Mathematics Theory of Computation Control and Systems Theory |
| ISBN |
1-283-74050-8
1-4614-4469-1 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Modeling and Optimization in Space Engineering; Preface; About the Editors; Acknowledgements; Contents; Chapter 1 Model Development and Optimization for Space Engineering: Concepts, Tools, Applications, and Perspectives; 1.1 Introduction; 1.1.1 Modeling and Optimization: An Operations Research Framework; 1.1.2 Nonlinear Optimization; 1.1.3 Optimization Modeling Systems and Solver Engines; 1.2 The LGO Solver Suite for Nonlinear Optimization; 1.2.1 Solver Options; 1.2.2 LGO Program Structure; 1.2.3 Connectivity to Other Modeling Environments: Current Implementations
1.2.4 An Illustrative Example1.3 Modeling and Optimization in Space Engineering: A Review of Applications and Perspectives; 1.3.1 Mission Analysis and Trajectory Planning; 1.3.2 Planning and Scheduling; 1.3.3 Cargo Loading and Unloading; 1.3.4 Payload Accommodation; 1.3.5 System Design; 1.3.6 Subsystem Design; 1.3.7 Ergonomic Aspects; 1.3.8 Payload Performance; 1.3.9 Observation Data Handling and Remote Monitoring; 1.3.10 Cost and Revenue Management; 1.3.11 Further Application Perspectives; 1.4 Concluding Remarks; References Chapter 2 Practical Direct Collocation Methods for Computational Optimal Control2.1 Introduction to Optimal Control Problems and Their Formulation; 2.1.1 Formulation; 2.1.2 Optimality Conditions; 2.2 Nonlinear Programming; 2.3 Indirect Methods for Solving Optimal Control Problems; 2.4 Direct Collocation Methods; 2.4.1 Local Methods; 2.4.1.1 Trapezoidal Method; 2.4.1.2 Hermite-Simpson Method; 2.4.1.3 Optimality of the Discretised Problem; 2.4.1.4 Convergence; 2.4.2 Example: Simple Problem with Analytical Solution; 2.5 Practical Aspects; 2.5.1 Scaling; 2.5.2 Sparse Nonlinear Programming 2.5.3 Efficient Sparse Differentiation2.5.4 Measures of Accuracy of the Discretisation; 2.5.5 Mesh Refinement; 2.5.6 Multi-phase Problems; 2.5.7 Potential Pitfalls; 2.6 Example: Space Vehicle Launch Problem; References; Chapter 3 Formation Flying Control for Satellites: Anti-windup Based Approach; 3.1 Introduction; 3.2 Relative Position Control; 3.2.1 Relative Position Plant Model; 3.2.2 Relative Position Controller; 3.2.3 Relative Position Actuator Model; 3.2.3.1 The Influence Matrix; 3.2.3.2 Thruster Saturation; 3.2.3.3 Allocation Function; 3.2.4 Relative Position Closed-Loop Model 3.3 Anti-windup on the Relative Position Control3.3.1 Anti-windup Compensator Synthesis; 3.3.1.1 Static DLAW Synthesis; 3.3.1.2 Dynamic DLAW Synthesis; 3.3.1.3 MRAW and EMRAW Synthesis; 3.3.2 Simulations on Relative Position Control; 3.4 Conclusion; References; Chapter 4 The ESA NLP Solver WORHP; 4.1 Introductory Remarks; 4.2 Nonlinear Optimization; 4.2.1 Sequential Quadratic Programming; 4.2.1.1 Interior-Point Methods; 4.2.1.2 Constraint Relaxation; 4.2.1.3 Merit Functions; 4.2.1.4 Line Search; 4.2.1.5 Filter; 4.2.1.6 Hessian Regularization; 4.2.2 WORHP Implementation 4.2.2.1 Derivative Approximations |
| Record Nr. | UNINA-9910438148703321 |
| New York, NY : , : Springer New York : , : Imprint : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust optimization [[electronic resource] /] / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski
| Robust optimization [[electronic resource] /] / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski |
| Autore | Ben-Tal A |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ, : Princeton University Press, c2009 |
| Descrizione fisica | 1 online resource (565 p.) |
| Disciplina | 519.6 |
| Altri autori (Persone) |
El GhaouiLaurent
NemirovskiĭArkadiĭ Semenovich |
| Collana | Princeton Series in Applied Mathematics |
| Soggetto topico |
Robust optimization
Linear programming |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-25928-8
9786612259289 1-4008-3105-9 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Part I. Robust Linear Optimization -- Chapter One. Uncertain Linear Optimization Problems and their Robust Counterparts -- Chapter Two. Robust Counterpart Approximations of Scalar Chance Constraints -- Chapter Three. Globalized Robust Counterparts of Uncertain LO Problems -- Chapter Four. More on Safe Tractable Approximations of Scalar Chance Constraints -- Part II. Robust Conic Optimization -- Chapter Five. Uncertain Conic Optimization: The Concepts -- Chapter Six. Uncertain Conic Quadratic Problems with Tractable RCs -- Chapter Seven. Approximating RCs of Uncertain Conic Quadratic Problems -- Chapter Eight. Uncertain Semidefinite Problems with Tractable RCs -- Chapter Nine. Approximating RCs of Uncertain Semidefinite Problems -- Chapter Ten. Approximating Chance Constrained CQIs and LMIs -- Chapter Eleven. Globalized Robust Counterparts of Uncertain Conic Problems -- Chapter Twelve. Robust Classi¯cation and Estimation -- Part III. Robust Multi-Stage Optimization -- Chapter Thirteen. Robust Markov Decision Processes -- Chapter Fourteen. Robust Adjustable Multistage Optimization -- Part IV. Selected Applications -- Chapter Fifteen. Selected Applications -- Appendix A: Notation and Prerequisites -- Appendix B: Some Auxiliary Proofs -- Appendix C: Solutions to Selected Exercises -- Bibliography -- Index |
| Record Nr. | UNINA-9910455223503321 |
|
Ben-Tal A
|
||
| Princeton, NJ, : Princeton University Press, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust optimization [[electronic resource] /] / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski
| Robust optimization [[electronic resource] /] / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski |
| Autore | Ben-Tal A |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ, : Princeton University Press, c2009 |
| Descrizione fisica | 1 online resource (565 p.) |
| Disciplina | 519.6 |
| Altri autori (Persone) |
El GhaouiLaurent
NemirovskiĭArkadiĭ Semenovich |
| Collana | Princeton Series in Applied Mathematics |
| Soggetto topico |
Robust optimization
Linear programming |
| Soggetto non controllato |
0O
Accuracy and precision Additive model Almost surely Approximation algorithm Approximation Best, worst and average case Bifurcation theory Big O notation Candidate solution Central limit theorem Chaos theory Coefficient Computational complexity theory Constrained optimization Convex hull Convex optimization Convex set Cumulative distribution function Curse of dimensionality Decision problem Decision rule Degeneracy (mathematics) Diagram (category theory) Duality (optimization) Dynamic programming Exponential function Feasible region Floor and ceiling functions For All Practical Purposes Free product Ideal solution Identity matrix Inequality (mathematics) Infimum and supremum Integer programming Law of large numbers Likelihood-ratio test Linear dynamical system Linear inequality Linear map Linear matrix inequality Linear programming Linear regression Loss function Margin classifier Markov chain Markov decision process Mathematical optimization Max-plus algebra Maxima and minima Multivariate normal distribution NP-hardness Norm (mathematics) Normal distribution Optimal control Optimization problem Orientability P versus NP problem Pairwise Parameter Parametric family Probability distribution Probability Proportionality (mathematics) Quantity Random variable Relative interior Robust control Robust decision-making Robust optimization Semi-infinite Sensitivity analysis Simple set Singular value Skew-symmetric matrix Slack variable Special case Spherical model Spline (mathematics) State variable Stochastic calculus Stochastic control Stochastic optimization Stochastic programming Stochastic Strong duality Support vector machine Theorem Time complexity Uncertainty Uniform distribution (discrete) Unimodality Upper and lower bounds Variable (mathematics) Virtual displacement Weak duality Wiener filter With high probability Without loss of generality |
| ISBN |
1-282-25928-8
9786612259289 1-4008-3105-9 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Part I. Robust Linear Optimization -- Chapter One. Uncertain Linear Optimization Problems and their Robust Counterparts -- Chapter Two. Robust Counterpart Approximations of Scalar Chance Constraints -- Chapter Three. Globalized Robust Counterparts of Uncertain LO Problems -- Chapter Four. More on Safe Tractable Approximations of Scalar Chance Constraints -- Part II. Robust Conic Optimization -- Chapter Five. Uncertain Conic Optimization: The Concepts -- Chapter Six. Uncertain Conic Quadratic Problems with Tractable RCs -- Chapter Seven. Approximating RCs of Uncertain Conic Quadratic Problems -- Chapter Eight. Uncertain Semidefinite Problems with Tractable RCs -- Chapter Nine. Approximating RCs of Uncertain Semidefinite Problems -- Chapter Ten. Approximating Chance Constrained CQIs and LMIs -- Chapter Eleven. Globalized Robust Counterparts of Uncertain Conic Problems -- Chapter Twelve. Robust Classi¯cation and Estimation -- Part III. Robust Multi-Stage Optimization -- Chapter Thirteen. Robust Markov Decision Processes -- Chapter Fourteen. Robust Adjustable Multistage Optimization -- Part IV. Selected Applications -- Chapter Fifteen. Selected Applications -- Appendix A: Notation and Prerequisites -- Appendix B: Some Auxiliary Proofs -- Appendix C: Solutions to Selected Exercises -- Bibliography -- Index |
| Record Nr. | UNINA-9910778219003321 |
|
Ben-Tal A
|
||
| Princeton, NJ, : Princeton University Press, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust optimization / / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski
| Robust optimization / / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski |
| Autore | Ben-Tal A |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ, : Princeton University Press, c2009 |
| Descrizione fisica | 1 online resource (565 p.) |
| Disciplina | 519.6 |
| Altri autori (Persone) |
El GhaouiLaurent
NemirovskiĭArkadiĭ Semenovich |
| Collana | Princeton Series in Applied Mathematics |
| Soggetto topico |
Robust optimization
Linear programming |
| Soggetto non controllato |
0O
Accuracy and precision Additive model Almost surely Approximation algorithm Approximation Best, worst and average case Bifurcation theory Big O notation Candidate solution Central limit theorem Chaos theory Coefficient Computational complexity theory Constrained optimization Convex hull Convex optimization Convex set Cumulative distribution function Curse of dimensionality Decision problem Decision rule Degeneracy (mathematics) Diagram (category theory) Duality (optimization) Dynamic programming Exponential function Feasible region Floor and ceiling functions For All Practical Purposes Free product Ideal solution Identity matrix Inequality (mathematics) Infimum and supremum Integer programming Law of large numbers Likelihood-ratio test Linear dynamical system Linear inequality Linear map Linear matrix inequality Linear programming Linear regression Loss function Margin classifier Markov chain Markov decision process Mathematical optimization Max-plus algebra Maxima and minima Multivariate normal distribution NP-hardness Norm (mathematics) Normal distribution Optimal control Optimization problem Orientability P versus NP problem Pairwise Parameter Parametric family Probability distribution Probability Proportionality (mathematics) Quantity Random variable Relative interior Robust control Robust decision-making Robust optimization Semi-infinite Sensitivity analysis Simple set Singular value Skew-symmetric matrix Slack variable Special case Spherical model Spline (mathematics) State variable Stochastic calculus Stochastic control Stochastic optimization Stochastic programming Stochastic Strong duality Support vector machine Theorem Time complexity Uncertainty Uniform distribution (discrete) Unimodality Upper and lower bounds Variable (mathematics) Virtual displacement Weak duality Wiener filter With high probability Without loss of generality |
| ISBN |
1-282-25928-8
9786612259289 1-4008-3105-9 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Part I. Robust Linear Optimization -- Chapter One. Uncertain Linear Optimization Problems and their Robust Counterparts -- Chapter Two. Robust Counterpart Approximations of Scalar Chance Constraints -- Chapter Three. Globalized Robust Counterparts of Uncertain LO Problems -- Chapter Four. More on Safe Tractable Approximations of Scalar Chance Constraints -- Part II. Robust Conic Optimization -- Chapter Five. Uncertain Conic Optimization: The Concepts -- Chapter Six. Uncertain Conic Quadratic Problems with Tractable RCs -- Chapter Seven. Approximating RCs of Uncertain Conic Quadratic Problems -- Chapter Eight. Uncertain Semidefinite Problems with Tractable RCs -- Chapter Nine. Approximating RCs of Uncertain Semidefinite Problems -- Chapter Ten. Approximating Chance Constrained CQIs and LMIs -- Chapter Eleven. Globalized Robust Counterparts of Uncertain Conic Problems -- Chapter Twelve. Robust Classi¯cation and Estimation -- Part III. Robust Multi-Stage Optimization -- Chapter Thirteen. Robust Markov Decision Processes -- Chapter Fourteen. Robust Adjustable Multistage Optimization -- Part IV. Selected Applications -- Chapter Fifteen. Selected Applications -- Appendix A: Notation and Prerequisites -- Appendix B: Some Auxiliary Proofs -- Appendix C: Solutions to Selected Exercises -- Bibliography -- Index |
| Record Nr. | UNINA-9910813421503321 |
|
Ben-Tal A
|
||
| Princeton, NJ, : Princeton University Press, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn
| Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn |
| Autore | Maruhn Jan H |
| Pubbl/distr/stampa | Berlin ; ; New York, : Walter de Gruyter, c2009 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.6322830151962 |
| Collana | Radon series on computational and applied mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Hedging (Finance) - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-29646-9
9786612296468 3-11-916585-9 3-11-020851-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- 1. Theoretical Background -- 2. Static Hedging of Barrier Options -- 3. An Optimization Approach to Static Super-Replication -- 4. Reformulation as a Semi-Infinite Problem -- 5. Eliminating Model Parameter Uncertainty -- 6. Modifications and Extensions -- 7. Avoiding Model Errors -- 8. Empirical Hedge Performance -- 9. Summary and Outlook -- A. General Existence Theorem -- B. Source Code -- Backmatter |
| Record Nr. | UNINA-9910455554403321 |
|
Maruhn Jan H
|
||
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn
| Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn |
| Autore | Maruhn Jan H |
| Pubbl/distr/stampa | Berlin ; ; New York, : Walter de Gruyter, c2009 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.6322830151962 |
| Collana | Radon series on computational and applied mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Hedging (Finance) - Mathematical models |
| Soggetto non controllato |
Barrier Options
Robust Optimization Semi-infinite Optimization Semidefinite Programming Static Hedging Stochastic Volatility |
| ISBN |
1-282-29646-9
9786612296468 3-11-916585-9 3-11-020851-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- 1. Theoretical Background -- 2. Static Hedging of Barrier Options -- 3. An Optimization Approach to Static Super-Replication -- 4. Reformulation as a Semi-Infinite Problem -- 5. Eliminating Model Parameter Uncertainty -- 6. Modifications and Extensions -- 7. Avoiding Model Errors -- 8. Empirical Hedge Performance -- 9. Summary and Outlook -- A. General Existence Theorem -- B. Source Code -- Backmatter |
| Record Nr. | UNINA-9910778598703321 |
|
Maruhn Jan H
|
||
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn
| Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn |
| Autore | Maruhn Jan H |
| Pubbl/distr/stampa | Berlin ; ; New York, : Walter de Gruyter, c2009 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.6322830151962 |
| Collana | Radon series on computational and applied mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Hedging (Finance) - Mathematical models |
| Soggetto non controllato |
Barrier Options
Robust Optimization Semi-infinite Optimization Semidefinite Programming Static Hedging Stochastic Volatility |
| ISBN |
1-282-29646-9
9786612296468 3-11-916585-9 3-11-020851-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- 1. Theoretical Background -- 2. Static Hedging of Barrier Options -- 3. An Optimization Approach to Static Super-Replication -- 4. Reformulation as a Semi-Infinite Problem -- 5. Eliminating Model Parameter Uncertainty -- 6. Modifications and Extensions -- 7. Avoiding Model Errors -- 8. Empirical Hedge Performance -- 9. Summary and Outlook -- A. General Existence Theorem -- B. Source Code -- Backmatter |
| Record Nr. | UNINA-9910828709203321 |
|
Maruhn Jan H
|
||
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
