| . |
d'Aspremont, Alexandre's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total Downloads
837 |
Total
Citations
0 |
|
|
|
|
|
1.
|
|
|
d'Aspremont, Alexandre Princeton University - Department of Operations Research and Financial Engineering El Ghaoui, Laurent University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS) Jordan, Michael I. University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS) Lanckriet, Gert R. University of California, Berkeley - Computer Science Division
|
|
260
(57,328)
|
|
|
| |
|
| |
PCA, semidefinite programming, relaxation, sparse
|
|
|
2.
|
|
|
d'Aspremont, Alexandre Princeton University - Department of Operations Research and Financial Engineering El Ghaoui, Laurent University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS)
|
|
179
(84,135)
|
|
|
| |
|
| |
Basket options, static arbitrage, linear programming
|
|
|
3.
|
|
Risk-Management Methods for the Libor Market Model using Semidefinite Programming
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
d'Aspremont, Alexandre Princeton University - Department of Operations Research and Financial Engineering
|
|
Posted:
|
|
12 Jul 04
|
|
Last Revised:
|
|
01 Jun 08
|
|
163
(91,820)
|
|
|
|
|
|
d'Aspremont, Alexandre Princeton University - Department of Operations Research and Financial Engineering
|
|
0
|
|
|
| |
|
| |
Libor market model, hedging portfolio, Avellaneda and Paras (1996), Brace et al (1997), semidefinite programming , Gamma exposure
|
|
|
|
|
|
|
d'Aspremont, Alexandre Princeton University - Department of Operations Research and Financial Engineering
|
|
163
|
|
|
| |
|
| |
Market model, risk management, semidefinite programming
|
|
|
|
|
|
4.
|
|
|
d'Aspremont, Alexandre Princeton University - Department of Operations Research and Financial Engineering
|
|
157
(95,036)
|
|
|
| |
|
| |
Market model, calibration, semidefinite programming
|
|
|
5.
|
|
|
d'Aspremont, Alexandre Princeton University - Department of Operations Research and Financial Engineering
|
|
78
(160,414)
|
|
|
| |
|
| |
Basket options, semidefinite programming, static arbitrage, K-moment
|
|
Records 1 -
5
of 5 matches
[
1
]
|
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo6 in 0.171 seconds
|