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Spread options, Farkas's lemma and linear programming Vladimir Piterbarg derives necessary and sufficient conditions for the existence of a joint distribution consistent with given marginals and the ...
Subsequent chapters discuss algorithm design for continuous linear optimization problems, covering topics such as convexity, Farkas' lemma, and the study of polyhedral before culminating in a ...
Spread options, Farkas's lemma and linear programming Vladimir Piterbarg derives necessary and sufficient conditions for the existence of a joint distribution consistent with given marginals and the ...
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