Yamamoto Y.

Y. Yamamoto

Information about the author Y. Yamamoto will soon be added to the site.
Found 6 papers in total
A double-exponential fast Gauss transform algorithm for pricing discrete path-dependent options
A double-exponential fast Gauss transform algorithm for pricing discrete path-dependent options
2005
This paper develops algorithms for the pricing of discretely sampled barrier,...
Optimality conditions and geometric properties of a linear multilevel programming problem with dominated objective functions
Optimality conditions and geometric properties of a linear multilevel programming problem with dominated objective functions
2004
In this paper, a model of a linear multilevel programming problem with dominated...
A minimax rule for portfolio selection in frictional markets
A minimax rule for portfolio selection in frictional markets
2003
In this paper, an optimal portfolio selection problem is formulated as a minimax...
A recursive algorithm for a class of convex min-max problems
A recursive algorithm for a class of convex min-max problems
1993
The authors consider a class of convex min-max problems including the minimum norm...
A path-following procedure to find a proper equilibrium of finite games
A path-following procedure to find a proper equilibrium of finite games
1993
The paper proposes a procedure to find a proper equilibrium of finite n- person games,...
A simplicial algorithm for stationary point problems on polytopes
A simplicial algorithm for stationary point problems on polytopes
1989
A simplicial variable dimension restart algorithm for the stationary point problem or...
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