Publications for Jörgen Blomvall
Co-author map based on ISI articles 2007-

Keywords

yield traditional stochastic solver riccati-based realistic programming primal pricing prices option multistage model interior generalized forward estimation curves constraints algorithm

Journal Articles

Jörgen Blomvall and A. Shapiro
  Solving multistage asset investment problems by the sample average approximation method
  Mathematical programming, 2006, 108(2-3), 571-595.
 Web of Science® Times Cited: 9

Jörgen Blomvall and Julian Manzano
  Positive forward rates in the maximum smoothness framework
  Quantitative finance (Print), 2004, 4(2), 221-232.

Jörgen Blomvall and Per Olov Lindberg
  Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999
  Journal of Economic Dynamics and Control, 2003, 27(6), 1099-1112.
 Web of Science® Times Cited: 9

Jörgen Blomvall and Per Olov Lindberg
  Back-Testing the Performance of an Actively Managed Option Portfolio at the Swedish Stock Market
  Journal of Economic Dynamics and Control, 2003, 27(6), 1099-1112.
 Web of Science® Times Cited: 9

Jörgen Blomvall
  A Multistage Stochastic Programming Algorithm Suitable for Parallel Computing
  Parallel Computing, 2003, 29(4), 431-445.
 Web of Science® Times Cited: 5

Jörgen Blomvall and Per Olov Lindberg
  A Riccati-based primal interior point solver for multistage stochastic programming - Extensions
  Optimization Methods and Software, 2002, 17(3), 383-407.
 Web of Science® Times Cited: 5

Jörgen Blomvall and Per Olov Lindberg
  A Riccati-Based Primal Interior Point Solver for Multistage Stochastic Programming - Extensions
  Optimization Methods and Software, 2002, 17(3), 383-407.
 Web of Science® Times Cited: 5

Jörgen Blomvall and Per Olov Lindberg
  A Riccati-Based Primal Interior Point Solver for Multistage Stochastic Programming
  European Journal of Operational Research, 2002, 143(2), 452-461.
 Web of Science® Times Cited: 13

Conference Articles

Jörgen Blomvall and Mathias Henningsson
  AN INTRODUCTORY PROJECT IN FINANCIAL ENGINEERING
  4th International CDIO Conference,2008, 2008.


Jörgen Blomvall
  A multistage stochastic programming algorithm suitable for parallel computing
  Parallel Computing, 2003.


 Web of Science® Times Cited: 5

Jörgen Blomvall
  Optimization based derivative pricing in incomplete and imperfect markets
  International Symposium on Mathematical Programming,2003, 2003.


Jörgen Blomvall
  Optimization based derivative pricing in incomplete and imperfect markets
  Informs Annual Meeting 2003,2003, 2003.


Jörgen Blomvall and Per Olov Lindberg
  A Riccati-based primal interior point solver for multistage stochastic programming
  European Journal of Operational Research, 2002.


 Web of Science® Times Cited: 13

Ph.D. Theses

Marcel Ndengo Rugengamanzi
  Term structure estimation based on a generalized optimization framework
  2013.


  Fulltext PDF

Licentiate Theses

Mathias Barkhagen
  Risk-Neutral and Physical Estimation of Equity Market Volatility
  2013.


  Fulltext PDF