Optimal investment and contingent claim valuation in illiquid markets Teemu Pennanen King’s College London Ari-Pekka Perkki¨o

First Page		Document Content
Date: 2014-06-12 07:26:03 Operations research Mathematical analysis Probability space Probability theory Duality gap Duality Applied mathematics Convex optimization Linear programming Mathematical optimization		Optimal investment and contingent claim valuation in illiquid markets Teemu Pennanen King’s College London Ari-Pekka Perkki¨o Add to Reading List Source URL: www.kcl.ac.uk Download Document from Source Website File Size: 212,54 KB Share Document on Facebook

	2009 年 SCI 收录我校师生论文一览（共 122 篇） 1. 标题: Duality gap of the conic convex constrained optimization problems in normed DocID: 1sIgD - View Document
	CS261: A Second Course in Algorithms Lecture #9: Linear Programming Duality (Part 2)∗ Tim Roughgarden† February 2, DocID: 1pE83 - View Document
	34 Introduction to Semideﬁnite Programming Key Properties of LP that do not extend to SDP • There may be a ﬁnite or inﬁnite duality gap. The primal and/or dual may DocID: 1jLuW - View Document
	Subdifferentiability and the Duality Gap Neil E. Gretsky () ∗ Department of Mathematics, University of California, Riverside DocID: 1g5DF - View Document
	Interior Point Algorithms for Large-Scale Nonlinear Programming: Theory and Algorithmic Development ¨ Andreas Wachter IBM T.J. Watson Research Center DocID: NF1K - View Document