Organization in Finance Prepared by Stochastic Differential Equations with Additive and Nonlinear Models and Continuous Optimization

Akume, D. A. (2007). Risk Constrained Dynamic Portfolio Management, Doctoral's Thesis, University of Yaounde I, Department of Mathematics.Search in Google Scholar

Aster, R., Borchers, B. & Thurber, C. (2005). Parameter Estimation and Inverse Problems, Elsevier Academic Press, London.Search in Google Scholar

Boyd, S. & Vandenberghe, L. (2004). Convex Optimization, Cambridge University Press, Cambridge.10.1017/CBO9780511804441Search in Google Scholar

Buja, A., Hastie, T. & Tibshirani, R. (1989). Linear smoothers and additive models, The Ann. Stat.17(2): 453-510.10.1214/aos/1176347115Open DOISearch in Google Scholar

De Boor, C. (2001). Practical Guide to Splines. Springer Verlag, New York.Search in Google Scholar

Friedman, J. H. & Stuetzle, W. (1981). Projection pursuit regression, J. Amer. Statist Assoc.76: 817-823.Search in Google Scholar

Hastie, T. & Tibshirani, R. (1987). Generalized additive models: some applications, J. Amer. Statist. Assoc.82(398): 371-386.Search in Google Scholar

Hastie, T., Tibshirani, R. & Friedman, J. H. (2001). The Element of Statistical Learning, Springer Verlag, New York.10.1007/978-0-387-21606-5Search in Google Scholar

Işcanoğlu Çekiç, A., Weber G.-W. & Taylan, P. (2007). Predicting Default Probabilities with Generalized Additive Models for Emerging Markets, Invited Lecture, Graduate Summer School on New Advances in Statistics, METU, August 11-24, 2007. http://144.122.137.55/gweber/Search in Google Scholar

Kloeden, P. E, Platen, E. & Schurz, H. (1994). Numerical Solution of SDE Through Computer Experiments, Springer Verlag, New York.10.1007/978-3-642-57913-4Search in Google Scholar

Nash, G., and Sofer, A. (1996). Linear and nonlinear programming, McGraw-Hill, New York.Search in Google Scholar

Nemirovski, A.(2002) Five lectures on modern convex optimization, Available from: http://iew3.technion.ac.il/Labs/Opt/opt/LN/Final.pdfSearch in Google Scholar

Nesterov, Y. E. & Nemirovskii, A. S. (1994) Interior Point Methods in Convex Programming, SIAM Publications, Philadelphia.Search in Google Scholar

Øksendal, B. K. (2003). Stochastic Differential Equations: An Introduction with Applications, Springer, Berlin.10.1007/978-3-642-14394-6Search in Google Scholar

Seydel, R. U. (2003). Tools for Computational Finance, Springer, Berlin.10.1007/978-3-662-22551-6Search in Google Scholar

Taylan, P. & Weber, G.-W. (2007). New approaches to regression in financial mathematics by additive models, J. Comp. Techn.12(2): 3-22.Search in Google Scholar

Taylan, P. & Weber, G.-W. (2007) Approximation of stochastic differential equations by additive models using splines and conic programming, to appear in the proceedings of CASYS'07, Eighth International Conference on Computing Anticipatory Systems, Edited by Dubois, D. M. American Institute of Physics.Search in Google Scholar

Taylan, P., Weber, G.-W. & Beck, A. (2007) New approaches to regression by generalized additive, models and continuous optimization for modern applications in finance, science and technology, Optimization56(5-6): 675-698.10.1080/02331930701618740Search in Google Scholar