125 citations · 140 across the 7 of their papers we have counts for
5 papers · 1 filter
Sparse Covariance Selection via Robust Maximum Likelihood Estimation
Onureena Banerjee, Alexandre d'Aspremont, Laurent El Ghaoui
We address a problem of covariance selection, where we seek a trade-off between a high likelihood against the number of non-zero elements in the inverse covariance matrix. We solve…
Static versus Dynamic Arbitrage Bounds on Multivariate Option Prices
Alexandre d'Aspremont
We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multi-variate genera…
A direct formulation for sparse PCA using semidefinite programming
Alexandre d'Aspremont, Laurent El Ghaoui, Michael I. Jordan +1
We examine the problem of approximating, in the Frobenius-norm sense, a positive, semidefinite symmetric matrix by a rank-one matrix, with an upper bound on the cardinality of its…
Risk-Management Methods for the Libor Market Model Using Semidefinite Programming
Alexandre d'Aspremont
When interest rate dynamics are described by the Libor Market Model as in BGM97, we show how some essential risk-management results can be obtained from the dual of the calibration…
Interest Rate Model Calibration Using Semidefinite Programming
Alexandre d'Aspremont
We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can t…