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1. | Centre for Industrial and Applied Mathematics, University of South Australia, Mawson Lakes, SA 5095, Australia |
2. | CSIRO Mathematics, Informatics and Statistics, North Ryde, NSW, Australia |
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in "18th World IMACS Congress and MODSIM09 International Congress on Modelling and Simulation" (eds. R. S. Anderssen et al), (2009), 1559-1565. |
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show all references
References:
[1] |
in "Risk Measures for the 21st Century" (eds. G. Szego), London: Wiley, (2004), 339-363. |
[2] |
Journal of Banking and Finance, 30 (2006), 583-605.
doi: 10.1016/j.jbankfin.2005.04.012. |
[3] |
in "IEEE Proceedings of the 2003 International Conference on Computational Intelligence for Financial Engineering (CIFE 2003)". |
[4] |
Journal of Futures Markets, 30 (2010), 780-794. Google Scholar |
[5] |
Princeton: Princeton University Press, 1963. |
[6] |
European Journal of Operational Research, 191 (2008), 888-911.
doi: 10.1016/j.ejor.2007.02.052. |
[7] |
Journal of Futures Markets, 26 (2006), 369-390.
doi: 10.1002/fut.20195. |
[8] |
European Journal of Operational Research, 203 (2010), 185-194.
doi: 10.1016/j.ejor.2009.07.010. |
[9] |
ALGO Research Quarterly, 1 (1998), 5-20. Google Scholar |
[10] |
Journal of Risk, 2 (2000), 21-41. Google Scholar |
[11] |
Journal of Banking and Finance, 26 (2002), 1443-1471.
doi: 10.1016/S0378-4266(02)00271-6. |
[12] |
Journal of Industrial and Management Optimization, 8 (2012), 343-362.
doi: 10.3934/jimo.2012.8.343. |
[13] |
in "18th World IMACS Congress and MODSIM09 International Congress on Modelling and Simulation" (eds. R. S. Anderssen et al), (2009), 1559-1565. |
[14] |
Journal of Banking and Finance, 26 (2002), 1535-1561.
doi: 10.1016/S0378-4266(02)00289-3. |
[15] |
Stochastic Optimization: Algorithms and Applications, 54 (2001), 411-435. |
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