Operations Research & Financial Engineering

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  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

    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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

    3 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 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 proceedingChapter

  • 2019

    The Next Generation of Optimization: A Unified Framework for Dynamic Resource Allocation Problems

    Powell, W. B., Jan 1 2019, Springer Optimization and Its Applications. Springer, p. 47-52 6 p. (Springer Optimization and Its Applications; vol. 152).

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • 2017

    Optimizing a portfolio of liquid and illiquid assets

    Mulvey, J. M., Kim, W. C. & Lin, C., 2017, International Series in Operations Research and Management Science. Springer New York LLC, p. 151-175 25 p. (International Series in Operations Research and Management Science; vol. 245).

    Research output: Chapter in Book/Report/Conference proceedingChapter

    1 Scopus citations
  • Some recent directions in algebraic methods for optimization and lyapunov analysis

    Ahmadi, A. A. & Parrilo, P. A., 2017, Springer Tracts in Advanced Robotics. Springer Verlag, p. 89-112 24 p. (Springer Tracts in Advanced Robotics; vol. 117).

    Research output: Chapter in Book/Report/Conference proceedingChapter

    1 Scopus citations
  • Sum of squares basis pursuit with linear and second order cone programming

    Ahmadi, A. A. & Hall, G., 2017, Contemporary Mathematics. American Mathematical Society, p. 27-53 27 p. (Contemporary Mathematics; vol. 685).

    Research output: Chapter in Book/Report/Conference proceedingChapter

    14 Scopus citations
  • 2016

    Approaches to High-Dimensional Covariance and Precision Matrix Estimations

    Fan, J., Liao, Y. & Liu, H., Apr 29 2016, Financial Signal Processing and Machine Learning. Wiley-IEEE Press, p. 100-134 35 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    1 Scopus citations
  • Stochastic Volatility: Modeling and Asymptotic Approaches to Option Pricing and Portfolio Selection

    Lorig, M. & Sircar, R., Apr 29 2016, Financial Signal Processing and Machine Learning. Wiley-IEEE Press, p. 135-161 27 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    1 Scopus citations
  • 2015

    Local modeling: Density estimation and nonparametric regression

    Fan, J. & Li, R., Jan 1 2015, Advanced Medical Statistics. World Scientific Publishing Co., p. 1125-1171 47 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • Long-short versus long-only commodity funds

    Mulvey, J. M., Jan 1 2015, Commodities. CRC Press, p. 459-467 9 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

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

    Carmona, R., Coulon, M. & Schwarz, D., Jan 1 2015, Commodities. CRC Press, p. 645-666 22 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • 2014

    A survey of commodity markets and structural models for electricity prices

    Carmona, R. A. & Coulon, M., Jan 1 2014, Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and Commodity Markets. Springer New York, p. 41-83 43 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    54 Scopus citations
  • 2013

    Optimal Learning and Approximate Dynamic Programming

    Powell, W. B. & Ryzhov, I. O., Feb 7 2013, Reinforcement Learning and Approximate Dynamic Programming for Feedback Control. John Wiley and Sons, p. 410-431 22 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    4 Scopus citations
  • 2012

    Tangent models as a mathematical framework for dynamic calibration

    Carmona, R. A. & Nadtochiy, S., Jan 1 2012, Finance at fields. World Scientific Publishing Co., p. 151-180 30 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • Team selection by Portfolio Optimization

    Mulvey, J. M., Green, W. & Traub, C., Nov 12 2012, Science and Golf IV: Proceedings of the WorId Scientific Congress of Golf. Taylor and Francis Inc., p. 305-316 12 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • 2011

    Duration-enhancing overlay strategies for defined benefit pension plans

    Mulvey, J. M., Kim, W. C. & Ma, Y., Mar 29 2011, Asset and Liability Management Handbook. Palgrave Macmillan, p. 280-307 28 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • Eefficient estimation of the dose-response function under ignorability using subclassification on the covariates

    Cattaneo, M. D. & Farrell, M. H., 2011, Missing Data Methods: Cross-Sectional Methods and Applications. Greene, W. & Drukker, D. (eds.). p. 93-127 35 p. 17004565. (Advances in Econometrics; vol. 27 A).

    Research output: Chapter in Book/Report/Conference proceedingChapter

    14 Scopus citations
  • Multistage financial planning models: Integrating stochastic programs and policy simulators

    Mulvey, J. M. & Kim, W. C., Jan 1 2011, International Series in Operations Research and Management Science. Springer New York LLC, p. 257-275 19 p. (International Series in Operations Research and Management Science; vol. 150).

    Research output: Chapter in Book/Report/Conference proceedingChapter

    2 Scopus citations
  • Performance enhancements for defined benefit pension plans

    Mulvey, J. M., Bauerfeind, T., Simsek, K. D. & Vural, M. T., Jan 1 2011, International Series in Operations Research and Management Science. Springer New York LLC, p. 43-71 29 p. (International Series in Operations Research and Management Science; vol. 163).

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • Statistical Learning Theory as a Framework for the Philosophy of Induction

    Harman, G. & Kulkarni, S., Dec 1 2011, Philosophy of Statistics. Elsevier, p. 833-847 15 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    2 Scopus citations
  • 2009

    An enterprise risk management model for supply chains

    Mulvey, J. M. & Erkan, H. G., Jan 1 2009, Springer Optimization and Its Applications. Springer International Publishing, p. 177-189 13 p. (Springer Optimization and Its Applications; vol. 30).

    Research output: Chapter in Book/Report/Conference proceedingChapter

    2 Scopus citations
  • 2008

    Applications to weather derivatives and energy contracts

    Carmona, R., Dec 29 2008, Indifference Pricing: Theory and Applications. Princeton University Press, p. 241-264 24 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    3 Scopus citations
  • Credit derivatives and risk aversion

    Leung, T., Sircar, R. & Zariphopoulou, T., 2008, Econometrics and Risk Management. Fouque, J-P., Fomby, T. & Solna, K. (eds.). p. 275-291 17 p. (Advances in Econometrics; vol. 22).

    Research output: Chapter in Book/Report/Conference proceedingChapter

    7 Scopus citations
  • Dynamic Financial Analysis for Multinational Insurance Companies

    Mulvey, J. M., Pauling, B., Britt, S. & Morin, F., 2008, Handbook of Asset and Liability Management - Set. Elsevier, Vol. 2. p. 543-590 48 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    7 Scopus citations
  • From markovian to partially observable models

    Carmona, R., Dec 29 2008, Indifference Pricing: Theory and Applications. Princeton University Press, p. 147-180 34 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    1 Scopus citations
  • Portfolio optimization

    Ilhan, A., Jonsson, M. & Sircar, R., Dec 29 2008, Indifference Pricing: Theory and Applications. Princeton University Press, p. 183-210 28 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • 2007

    Distributed Learning in Wireless Sensor Networks

    Predd, J. B., Kulkarni, S. R. & Poor, H. V., Oct 2 2007, Wireless Sensor Networks: Signal Processing and Communications Perspectives. John Wiley & Sons, Ltd, p. 185-214 30 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    8 Scopus citations