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Scenario modelling for selective hedging strategies

, , and . Journal of Economic Dynamics and Control, 28 (5): 955--974 (February 2004)

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Risk Management for Sustainable Sovereign Debt Financing., , , , , and . Oper. Res., 69 (3): 755-773 (2021)An Optimal Parallel Implementation of a Quadratic Transportation Algorithm., and . PPSC, page 357-363. SIAM, (1989)Pricing options on scenario trees, , and . Journal of Banking & Finance, 32 (2): 283--298 (February 2008)Robust Optimization of Large-Scale Systems., , and . Operations Research, 43 (2): 264-281 (1995)Data structures for network algorithms on massively parallel architectures., and . Parallel Comput., 18 (9): 1033-1052 (1992)Portfolio diversification in the sovereign credit swap markets., , and . Ann. Oper. Res., 266 (1-2): 5-33 (2018)A data-level parallel linear-quadratic penalty algorithm for multicommodity network flows., and . ACM Trans. Math. Softw., 20 (4): 531-552 (1994)On a Massively Parallel e-Relaxization Algorithm for Linear Transformation Problems., and . ICPP (3), page 306-307. CRC Press, (1991)Asset and liability management for insurance products with minimum guarantees: The UK case, , and . Journal of Banking & Finance, 30 (2): 645--667 (February 2006)Dynamic models for fixed-income portfolio management under uncertainty, , , and . Journal of Economic Dynamics and Control, 22 (10): 1517--1541 (Aug 28, 1998)