Jörgen Blomvall

Publication Activity (10 Years)

Years Active: 2002-2022
Publications (10 Years): 6

Top Topics

Transaction Costs

Stochastic Optimization

Top Venues

Eur. J. Oper. Res.

Ann. Oper. Res.

Comput. Manag. Sci.

Publications

Jörgen Blomvall, Johan Hagenbjörk
Reducing transaction costs for interest rate risk hedging with stochastic programming. Eur. J. Oper. Res. 302 (3) (2022)
Pontus Söderbäck, Jörgen Blomvall, Martin Singull
Improved Dividend Estimation from Intraday Quotes. Entropy 24 (1) (2022)
Jonas Ekblom, Jörgen Blomvall
Importance sampling in stochastic optimization: An application to intertemporal portfolio choice. Eur. J. Oper. Res. 285 (1) (2020)
Johan Hagenbjörk, Jörgen Blomvall
Simulation and evaluation of the distribution of interest rate risk. Comput. Manag. Sci. 16 (1-2) (2019)
Jörgen Blomvall, Jonas Ekblom
Corporate hedging: an answer to the "how" question. Ann. Oper. Res. 266 (1-2) (2018)
Jörgen Blomvall
Measurement of interest rates using a convex optimization model. Eur. J. Oper. Res. 256 (1) (2017)
Jörgen Blomvall, Alexander Shapiro
Solving multistage asset investment problems by the sample average approximation method. Math. Program. 108 (2-3) (2006)
Jörgen Blomvall
A multistage stochastic programming algorithm suitable for parallel computing. Parallel Comput. 29 (4) (2003)
Jörgen Blomvall, Per Olov Lindberg
A Riccati-based primal interior point solver for multistage stochastic programming. Eur. J. Oper. Res. 143 (2) (2002)
Jörgen Blomvall, Per Olov Lindberg
A Riccati-based primal interior point solver for multistage stochastic programming - extensions. Optim. Methods Softw. 17 (3) (2002)