Alexandre d'Aspremont

Princeton University - Department of Operations Research and Financial Engineering

Princeton, NJ 08544

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 40,794

SSRN RANKINGS

Top 40,794

in Total Papers Downloads

871

CITATIONS

0

Scholarly Papers (5)

1.

A Direct Formulation for Sparse Pca Using Semidefinite Programming

Number of pages: 12 Posted: 13 Jul 2004
Princeton University - Department of Operations Research and Financial Engineering, University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS), University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS) and University of California, Berkeley - Computer Science Division
Downloads 263 (98,195)

Abstract:

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PCA, semidefinite programming, relaxation, sparse

2.

Static Arbitrage Bounds on Basket Option Prices

Mathematics arXiv Working Paper No. math.OC/0302243
Number of pages: 19 Posted: 12 Jul 2004
Alexandre d'Aspremont and Laurent El Ghaoui
Princeton University - Department of Operations Research and Financial Engineering and University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS)
Downloads 181 (142,998)

Abstract:

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Basket options, static arbitrage, linear programming

Risk-Management Methods for the Libor Market Model Using Semidefinite Programming

Number of pages: 16 Posted: 12 Jul 2004
Alexandre d'Aspremont
Princeton University - Department of Operations Research and Financial Engineering
Downloads 176 (147,979)

Abstract:

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Market model, risk management, semidefinite programming

Risk-Management Methods for the Libor Market Model Using Semidefinite Programming

Journal of Computational Finance, Vol. 8, No. 4, Summer 2005
Posted: 10 Nov 2005
Alexandre d'Aspremont
Princeton University - Department of Operations Research and Financial Engineering

Abstract:

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Libor market model, hedging portfolio, Avellaneda and Paras (1996), Brace et al (1997), semidefinite programming , Gamma exposure

4.

Interest Rate Model Calibration Using Semidefinite Programming

Applied Mathematical Finance 10(3), pp. 183-213, September 2003
Number of pages: 25 Posted: 12 Jul 2004
Alexandre d'Aspremont
Princeton University - Department of Operations Research and Financial Engineering
Downloads 159 (158,380)

Abstract:

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Market model, calibration, semidefinite programming

5.

A Harmonic Analysis Solution to the Static Basket Arbitrage Problem

Number of pages: 15 Posted: 13 Jul 2004
Alexandre d'Aspremont
Princeton University - Department of Operations Research and Financial Engineering
Downloads 81 (265,159)

Abstract:

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Basket options, semidefinite programming, static arbitrage, K-moment