Jörgen Blomvall

According to our database, Jörgen Blomvall authored at least 10 papers between 2002 and 2022.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2022

Reducing transaction costs for interest rate risk hedging with stochastic programming.

Jörgen Blomvall, Johan Hagenbjörk

Eur. J. Oper. Res., 2022

Improved Dividend Estimation from Intraday Quotes.

Pontus Söderbäck, Jörgen Blomvall, Martin Singull

Entropy, 2022

2020

Importance sampling in stochastic optimization: An application to intertemporal portfolio choice.

Jonas Ekblom, Jörgen Blomvall

Eur. J. Oper. Res., 2020

2019

Simulation and evaluation of the distribution of interest rate risk.

Johan Hagenbjörk, Jörgen Blomvall

Comput. Manag. Sci., 2019

2018

Corporate hedging: an answer to the "how" question.

Jörgen Blomvall, Jonas Ekblom

Ann. Oper. Res., 2018

2017

Measurement of interest rates using a convex optimization model.

Jörgen Blomvall

Eur. J. Oper. Res., 2017

2006

Solving multistage asset investment problems by the sample average approximation method.

Jörgen Blomvall, Alexander Shapiro

Math. Program., 2006

2003

A multistage stochastic programming algorithm suitable for parallel computing.

Jörgen Blomvall

Parallel Comput., 2003

2002

A Riccati-based primal interior point solver for multistage stochastic programming - extensions.

Jörgen Blomvall, Per Olov Lindberg

Optim. Methods Softw., 2002

A Riccati-based primal interior point solver for multistage stochastic programming.

Jörgen Blomvall, Per Olov Lindberg

Eur. J. Oper. Res., 2002