Mathematics of Finance

Mathematics of Finance

[ 10] A. Jofré, R.T. Rockafellar, and R. Wets. Convex Analysis and financial equilibrium.

Mathematical Programming, (forthcoming), 2013.

[ 9] R. Wets and I. Rios. Modeling and estimating commodity prices: Copper prices. Technical

Report, Universidad de Chile, 2013

[ 8] S. Tian and R. Wets. Pricing contingent claims: a computational compatible approach.

Technical report, Mathematics, University of California, Davis, 2007.

[ 7] R. Wets and S. Bianchi. Term and volatility structures. In S. Zenios and W. Ziemba, editors,

Handbook of Asset and Liability Management, pages 26–68. Elsevier, 2006.

[ 6] S. Bianchi, R. Wets and L. Yang. Estimating LIBOR/Swaps Spot-Volatilities: the EpiVolatility

Model. EpiRisk: http://epirisk.com/pubs/EpiVolatility.pdf, 2003

[ 5] R. Wets, S. Bianchi, and L. Yang. Serious zero-curves.

EpiRisk: http://epirisk.com/pubs/SeriousZC.pdf, 2002.

[ 4] C. Claessens, J. Kreuser, and R. Wets. Stratigic risk management for developing countries:

The Columbia case study. In Proceedings of the Second Inter-regional Debt

Management Conference, pages 1–18. United Nations Publs, no. E.01.II.D.17, 2002.

[ 3] C. Claessens, J. Kreuser, and R. Wets. Strategic risk management for developing countries.

Technical report, The World Bank, Washington, D.C., 2000. RisKontrol Group, pp. 1–224.

[ 2] C. Claessens, J. Kreuser, L. Seigel, and R. Wets. A risk management model to assist

developing countries in hedging against interest rate, commodity price and exchange rate

fluctuations. The World Bank, Washington D.C., 1994.

[ 1] K. Back and R. Wets. Continuity of portfolio choice. Manuscript, University of Indiana, 1988