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  • 2022

    Long-short versus long-only commodity funds

    Mulvey, J. M., Dec 16 2022, Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing. CRC Press, p. 389-398 10 p.

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • The valuation of clean spread options: Linking electricity, emissions and fuels

    Carmona, R., Coulon, M. & Schwarz, D., Dec 16 2022, Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing. CRC Press, p. 611-633 23 p.

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • 2021

    A Safe-Asset Perspective for an Integrated Policy Framework*

    Brunnermeier, M. K., Merkel, S. & Sannikov, Y., Jan 1 2021, The Asian Monetary Policy Forum: Insights for Central Banking. World Scientific Publishing Co., p. 302-332 31 p.

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    1 Scopus citations

  • Methodology and insight in statistics, financial crisis, high-dimensional challenges

    Fan, J., Jun 23 2021, The Art And Practice Of Mathematics: Interviews At The Institute For Mathematical Sciences, National University Of Singapore, 2010-2020. World Scientific Publishing Co. Pte Ltd, p. 106-117 12 p.

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • The industrial organization of financial markets

    Clark, R., Houde, J. F. & Kastl, J., Jan 2021, Handbook of Industrial Organization, Volume 5. Ho, K. (ed.). 1 ed. Elsevier B.V., p. 427-520 94 p. (Handbook of Industrial Organization; vol. 5, no. 1).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    1 Scopus citations
  • 2020

    A path-following method

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 309-324 16 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Applications

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 257-273 17 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Comment

    Watson, M. W., Jan 1 2020, NBER Macroeconomics Annual. 1 ed. University of Chicago Press, p. 183-193 11 p. (NBER Macroeconomics Annual; vol. 34, no. 1).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    2 Scopus citations

  • Convex analysis

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 159-169 11 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Convex programming

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 433-443 11 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    1 Scopus citations

  • Data science applications

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 187-213 27 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Degeneracy

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 27-42 16 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Digital money: Private versus public

    Brunnermeier, M. & Niepelt, D., Nov 3 2020, Digital Currency Economics and Policy. World Scientific Publishing Co. Pte Ltd, p. 89-113 25 p.

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Duality theory

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 59-88 30 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Efficiency of the simplex method

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 43-58 16 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Financial applications

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 215-226 12 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Game theory

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 171-185 15 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Implementation issues

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 333-349 17 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Implementation issues

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 123-147 25 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Integer programming

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 389-414 26 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Linear programming: Foundations and extensions

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 1-465 465 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    16 Scopus citations

  • Network flow problems

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 229-256 28 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Problems in general form

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 149-158 10 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Quadratic programming

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 415-431 17 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Sensitivity and parametric analyses

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 109-121 13 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Structural optimization

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 275-291 17 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    1 Scopus citations

  • The affine-scaling method

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 351-364 14 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • The central path

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 295-307 13 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • The homogeneous self-dual method

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 365-385 21 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • The KKT system

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 325-331 7 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • The simplex method

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 11-25 15 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • The simplex method in matrix notation

    Vanderbei, R. J., 2020, International Series in Operations Research and Management Science. Springer, p. 89-108 20 p. (International Series in Operations Research and Management Science; vol. 285).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • 2019

    Household debt and recession in Brazil

    Garber, G., Mian, A., Ponticelli, J. & Sufi, A., Jan 1 2019, Handbook of US Consumer Economics. Elsevier, p. 97-119 23 p.

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    6 Scopus citations
  • 2018

    Classical Solutions to the Master Equation

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 323-446 124 p. (Probability Theory and Stochastic Modelling; vol. 84).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Convergence and Approximations

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 447-539 93 p. (Probability Theory and Stochastic Modelling; vol. 84).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Extensions for Volume I

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 619-680 62 p. (Probability Theory and Stochastic Modelling; vol. 83).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    1 Scopus citations

  • Extensions for Volume II

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 541-663 123 p. (Probability Theory and Stochastic Modelling; vol. 84).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    2 Scopus citations

  • FBSDEs and the Solution of MFGs Without Common Noise

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 215-345 131 p. (Probability Theory and Stochastic Modelling; vol. 83).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    1 Scopus citations

  • Learning by Examples: What Is a Mean Field Game?

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 3-65 63 p. (Probability Theory and Stochastic Modelling; vol. 83).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    3 Scopus citations

  • MFGs with a Common Noise: Strong and Weak Solutions

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 107-153 47 p. (Probability Theory and Stochastic Modelling; vol. 84).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Optimal Control of SDEs of McKean-Vlasov Type

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 513-617 105 p. (Probability Theory and Stochastic Modelling; vol. 83).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Optimization in a Random Environment

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 3-106 104 p. (Probability Theory and Stochastic Modelling; vol. 84).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    20 Scopus citations

  • Probabilistic Approach to Stochastic Differential Games

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 67-127 61 p. (Probability Theory and Stochastic Modelling; vol. 83).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    1 Scopus citations

  • Probabilistic Theory of Mean Field Games with Applications II Mean Field Games with Common Noise and Master Equations

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 1-679 679 p. (Probability Theory and Stochastic Modelling; vol. 84).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    52 Scopus citations

  • Probabilistic Theory of Mean Field Games with Applications I Mean Field FBSDEs, Control, and Games

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 1-695 695 p. (Probability Theory and Stochastic Modelling; vol. 83).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

    58 Scopus citations

  • Solving MFGs with a Common Noise

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 155-235 81 p. (Probability Theory and Stochastic Modelling; vol. 84).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Spaces of Measures and Related Differential Calculus

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 349-512 164 p. (Probability Theory and Stochastic Modelling; vol. 83).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Stochastic Differential Mean Field Games

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 129-213 85 p. (Probability Theory and Stochastic Modelling; vol. 83).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • The Master Field and the Master Equation

    Carmona, R. & Delarue, F., 2018, Probability Theory and Stochastic Modelling. Springer Nature, p. 239-321 83 p. (Probability Theory and Stochastic Modelling; vol. 84).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • 2017

    More choice is always better

    Blinder, A. S., Jan 1 2017, Economic Ideas You Should Forget. Springer International Publishing, p. 29-30 2 p.

    Research output: Chapter in Book/Report/Conference proceeding › Chapter