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Thomas Coleman
Information about the author Thomas Coleman will soon be added to the site.
Found
3 papers
in total
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Stable local volatility function calibration using spline kernel
2013
We propose an optimization formulation using the l 1 norm to ensure accuracy and...
Regularized robust optimization: the optimal portfolio execution case
2013
An uncertainty set is a crucial component in robust optimization. Unfortunately, it is...
A secant method for nonlinear least‐squares minimization
2012
Quasi‐Newton methods have played a prominent role, over many years, in the...
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