SIAM Journal on Financial Mathematics - Research Database, The University of York

SIAM Journal on Financial Mathematics

ISSNs: 1945-497X

Society for Industrial and Applied Mathematics Publications, United Kingdom

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2016
A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA
Litterer, C., Ren, Z. & Henry-Labordère, P., 19 Apr 2016
Article in SIAM Journal on Financial Mathematics

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