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Stochastic Analysis and Diffusion Finance

BOOK CHAPTER published in Applied Optimization

Stochastic Modeling in Economics and Finance

BOOK published 2003 in Applied Optimization

Discrete Time Stochastic Decision Models

BOOK CHAPTER published in Applied Optimization

Fundamentals

BOOK CHAPTER published in Applied Optimization

Reflections on Output Analysis for Multistage Stochastic Linear Programs

BOOK CHAPTER published 2004 in Lecture Notes in Economics and Mathematical Systems

Authors: Jitka Dupačová

Modelling and Computing a Stochastic Growth Model

BOOK CHAPTER published in Optimization in Economics and Finance

Comparison of Multistage Stochastic Programs with Recourse and Stochastic Dynamic Programs with Discrete Time

JOURNAL ARTICLE published November 2002 in ZAMM

Authors: J. Dupačová | K. Sladký

Applications of stochastic programming: Achievements and questions

JOURNAL ARTICLE published July 2002 in European Journal of Operational Research

Authors: Jitka Dupačová

Water Resources System Modelling Using Stochastic Programming with Recourse

BOOK CHAPTER published 1980 in Lecture Notes in Economics and Mathematical Systems

Authors: Jitka Dupačová

On Stochastic Aspects of a Metal Cutting Problem

BOOK CHAPTER published 1995 in Lecture Notes in Economics and Mathematical Systems

Authors: Jitka Dupačová | Pavel Charamza | Jan Mádl

Option Valuation Under Stochastic Volatility with Mathematica Code

JOURNAL ARTICLE published January 2002 in International Review of Economics & Finance

Authors: D. Lien

Reflections on Robust Optimization

BOOK CHAPTER published 1998 in Stochastic Programming Methods and Technical Applications

Authors: Jitka Dupačová

Robustness Analysis of Stochastic Programs with Joint Probabilistic Constraints

BOOK CHAPTER published 2013 in IFIP Advances in Information and Communication Technology

Authors: Jitka Dupačová

Mean-variance hedging for interest rate models¶with stochastic volatility

JOURNAL ARTICLE published 1 May 2002 in Decisions in Economics and Finance

Authors: Francesca Biagini

Stochastic Programming: Minimax Approach

BOOK CHAPTER published 2008 in Encyclopedia of Optimization

Authors: Jitka Dupačová

Stochastic Modeling in Finance and Economics

OTHER published 30 April 2014 in Handbook in Monte Carlo Simulation

MAPLE and MATLAB for Stochastic Differential Equations in Finance

BOOK CHAPTER published 2002 in Advances in Computational Economics

Authors: Desmond J. Higham | Peter E. Kloeden

Stability in stochastic programming — Probabilistic constraints

BOOK CHAPTER published in Lecture Notes in Control and Information Sciences

Authors: Jitka Dupačová

Horizon and stages in applications of stochastic programming in finance

JOURNAL ARTICLE published February 2006 in Annals of Operations Research

Authors: Marida Bertocchi | Vittorio Moriggia | Jitka Dupačová

MAPLE for Jump—Diffusion Stochastic Differential Equations in Finance

BOOK CHAPTER published 2002 in Advances in Computational Economics

Authors: Sasha Cyganowski | Lars Grüne | Peter E. Kloeden