Kuhn, Daniel; Luenberger, David G. Analysis of the rebalancing frequency in log-optimal portfolio selection. (English) Zbl 1202.91300 Quant. Finance 10, No. 2, 221-234 (2010). Reviewer: Tamás Mátrai (Budapest) MSC: 91G10 PDFBibTeX XMLCite \textit{D. Kuhn} and \textit{D. G. Luenberger}, Quant. Finance 10, No. 2, 221--234 (2010; Zbl 1202.91300) Full Text: DOI Link
Ferstl, Robert; Weissensteiner, Alex Cash management using multi-stage stochastic programming. (English) Zbl 1198.91224 Quant. Finance 10, No. 2, 209-219 (2010). MSC: 91G50 90C15 90C05 PDFBibTeX XMLCite \textit{R. Ferstl} and \textit{A. Weissensteiner}, Quant. Finance 10, No. 2, 209--219 (2010; Zbl 1198.91224) Full Text: DOI Link
Sircar, Ronnie; Zariphopoulou, Thaleia Utility valuation of multi-name credit derivatives and application to CDOs. (English) Zbl 1198.91214 Quant. Finance 10, No. 2, 195-208 (2010). MSC: 91G20 91B16 91G40 PDFBibTeX XMLCite \textit{R. Sircar} and \textit{T. Zariphopoulou}, Quant. Finance 10, No. 2, 195--208 (2010; Zbl 1198.91214) Full Text: DOI
Lord, Roger; Koekkoek, Remmert; van Dijk, Dick A comparison of biased simulation schemes for stochastic volatility models. (English) Zbl 1198.91240 Quant. Finance 10, No. 2, 177-194 (2010). MSC: 91G70 91G60 PDFBibTeX XMLCite \textit{R. Lord} et al., Quant. Finance 10, No. 2, 177--194 (2010; Zbl 1198.91240) Full Text: DOI Link
Chen, Zhuliang; Forsyth, Peter A. Implications of a regime-switching model on natural gas storage valuation and optimal operation. (English) Zbl 1198.91204 Quant. Finance 10, No. 2, 159-176 (2010). MSC: 91G20 93E20 91G60 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{P. A. Forsyth}, Quant. Finance 10, No. 2, 159--176 (2010; Zbl 1198.91204) Full Text: DOI
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander Optimal execution strategies in limit order books with general shape functions. (English) Zbl 1185.91199 Quant. Finance 10, No. 2, 143-157 (2010). Reviewer: Nikolaos Halidias (Athens) MSC: 91G99 91G10 PDFBibTeX XMLCite \textit{A. Alfonsi} et al., Quant. Finance 10, No. 2, 143--157 (2010; Zbl 1185.91199) Full Text: DOI arXiv