| Solving multistage asset investment problems by the sample average approximation method J Blomvall, A Shapiro Mathematical programming 108, 571-595, 2006 | 55 | 2006 |
| A Riccati-based primal interior point solver for multistage stochastic programming J Blomvall, PO Lindberg European Journal of Operational Research 143 (2), 452-461, 2002 | 52 | 2002 |
| Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990–1999 J Blomvall, PO Lindberg Journal of Economic Dynamics and Control 27 (6), 1099-1112, 2003 | 35 | 2003 |
| A multistage stochastic programming algorithm suitable for parallel computing J Blomvall Parallel Computing 29 (4), 431-445, 2003 | 34 | 2003 |
| A Riccati-based primal interior point solver for multistage stochastic programming‐extensions J Blomvall, PO Lindberg Optimization methods and software 17 (3), 383-407, 2002 | 24 | 2002 |
| Measurement of interest rates using a convex optimization model J Blomvall European Journal of Operational Research 256 (1), 308-316, 2017 | 23 | 2017 |
| Simulation and evaluation of the distribution of interest rate risk J Hagenbjörk, J Blomvall Computational Management Science 16, 297-327, 2019 | 17 | 2019 |
| Importance sampling in stochastic optimization: An application to intertemporal portfolio choice J Ekblom, J Blomvall European Journal of Operational Research 285 (1), 106-119, 2020 | 15 | 2020 |
| Artificial neural networks for financial time series prediction and portfolio optimization S Björklund, T Uhlin, J Blomvall, O Tang Master of Science Thesis in Industrial Engineering and Management Department …, 2017 | 15 | 2017 |
| Positive forward rates in the maximum smoothnessframework J Manzano, J Blomvall Quantitative finance 4 (2), 221, 2004 | 12 | 2004 |
| Optimization of financial decisions using a new stochastic programming method J Blomvall Linköping University, 2001 | 9 | 2001 |
| Reducing transaction costs for interest rate risk hedging with stochastic programming J Blomvall, J Hagenbjörk European Journal of Operational Research 302 (3), 1282-1293, 2022 | 8 | 2022 |
| Recovering the real-world density and liquidity premia from option data M Barkhagen, J Blomvall, E Platen Quantitative Finance 16 (7), 1147-1164, 2016 | 8 | 2016 |
| A generic framework for monetary performance attribution J Blomvall, J Hagenbjörk Journal of Banking & Finance 105, 121-133, 2019 | 6 | 2019 |
| Multiple yield curves estimation using a generalized optimization framework J Blomvall, M Ndengo | 6 | 2013 |
| Financial optimization–lecture notes J Blomvall Technical report, Working paper, Department of Management and Engineering …, 2021 | 5 | 2021 |
| Corporate hedging: an answer to the “how” question J Blomvall, J Ekblom Annals of Operations Research 266, 35-69, 2018 | 5 | 2018 |
| Modeling and evaluation of the option book hedging problem using stochastic programming M Barkhagen, J Blomvall Quantitative Finance 16 (2), 259-273, 2016 | 5 | 2016 |
| High quality yield curves from a generalized optimization framework J Blomvall, M Ndengo | 5 | 2013 |
| Validation of a Riccati-based primal interior point solver for multistage stochastic programming J Blomvall, PO Lindberg Linköpings Universitet/Tekniska Högskolan i Linköping. Mathematics, 2000 | 5 | 2000 |
