Jörgen Blomvall
Jörgen Blomvall
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Title
Cited by
Cited by
Year
Solving multistage asset investment problems by the sample average approximation method
J Blomvall, A Shapiro
Mathematical programming 108 (2), 571-595, 2006
502006
A Riccati-based primal interior point solver for multistage stochastic programming
J Blomvall, PO Lindberg
European Journal of Operational Research 143 (2), 452-461, 2002
472002
A multistage stochastic programming algorithm suitable for parallel computing
J Blomvall
Parallel Computing 29 (4), 431-445, 2003
322003
Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990–1999
J Blomvall, PO Lindberg
Journal of Economic Dynamics and Control 27 (6), 1099-1112, 2003
302003
A Riccati-based primal interior point solver for multistage stochastic programming‐extensions
J Blomvall, PO Lindberg
Optimization methods and software 17 (3), 383-407, 2002
232002
Positive forward rates in the maximum smoothenss framework
J Manzano, J Blomvall
Quantitative finance 4 (2), 221-232, 2004
102004
Measurement of interest rates using a convex optimization model
J Blomvall
European Journal of Operational Research 256 (1), 308-316, 2017
92017
Optimization of financial decisions using a new stochastic programming method
J Blomvall
LINKOPING STUDIES IN SCIENCE AND TECHNOLOGY-DISSERTATIONS-, 2001
92001
Recovering the real-world density and liquidity premia from option data
M Barkhagen, J Blomvall, E Platen
Quantitative Finance 16 (7), 1147-1164, 2016
72016
Artificial neural networks for financial time series prediction and portfolio optimization
S Björklund, T Uhlin, J Blomvall, O Tang
Master of Science Thesis in Industrial Engineering and Management Department …, 2017
62017
Validation of a Riccati-based primal interior point solver for multistage stochastic programming
J Blomvall, PO Lindberg
Linköpings Universitet/Tekniska Högskolan i Linköping. Mathematics, 2000
62000
Non-parametric estimation of stable local volatility surfaces
M Barkhagen, J Blomvall
42015
Solving multistage asset investment problems by Monte Carlo based optimization
J Blomvall, A Shapiro
Mathematical Programming 108, 571-595, 2007
42007
Simulation and evaluation of the distribution of interest rate risk
J Hagenbjörk, J Blomvall
Computational Management Science 16 (1), 297-327, 2019
32019
High quality yield curves from a generalized optimization framework
J Blomvall, M Ndengo
22013
Importance sampling in stochastic optimization: An application to intertemporal portfolio choice
J Ekblom, J Blomvall
European Journal of Operational Research 285 (1), 106-119, 2020
12020
Modeling and evaluation of the option book hedging problem using stochastic programming
M Barkhagen, J Blomvall
Quantitative Finance 16 (2), 259-273, 2016
12016
Valuation and delta hedging of future corporate tax payments
F Danell, C Eriksson, CEO Torbjörn Hovmark, AB Ampfield, J Blomvall, ...
Master’s thesis, Linköping Institute of Technology, 2015
12015
A generic framework for monetary performance attribution
J Blomvall, J Hagenbjörk
Journal of Banking & Finance 105, 121-133, 2019
2019
Corporate hedging: an answer to the “how” question
J Blomvall, J Ekblom
Annals of Operations Research 266 (1), 35-69, 2018
2018
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Articles 1–20