3 papers
math.OC2014
Application of the Enhanced Semidefinite Relaxation Method to Construction of the Optimal Anisotropy Function
Daniel Sevcovic, Maria Trnovska
In this paper we propose and apply the enhanced semidefinite relaxation technique for solving a class of non-convex quadratic optimization problems. The approach is based on enhanc…
math.OC2014
Solution to the Inverse Wulff Problem by Means of the Enhanced Semidefinite Relaxation Method
Daniel Sevcovic, Maria Trnovska
We propose a novel method of resolving the optimal anisotropy function. The idea is to construct the optimal anisotropy function as a solution to the inverse Wulff problem, i.e. as…
q-fin.CP2010
On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
Daniel Sevcovic
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. W…