Conic Coconuts: The Pricing of Contingent Capital Notes Using Conic Finance

Dynamic Conic Finance via Backward Stochastic Difference Equations

We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of dynamic subscale invariant performance measures, on a general probability space, and discrete time setup. We prove a representation theorem of such measures...

Conic Fitting Using the Geometric Distance

We consider the problem of fitting a conic to a set of 2D points. It is commonly agreed that minimizing geometrical error, i.e. the sum of squared distances between the points and the conic, is better than using an algebraic error measure. However, most existing methods rely on algebraic error measures. This is usually motivated by the fact that pointto-conic distances are difficult to compute ...

Decomplexifying the Absolute Conic

On conic QPCCs, conic QCQPs and completely positive programs

This paper studies several classes of nonconvex optimization problems defined over convex cones, establishing connections between them and demonstrating that they can be equivalently formulated as convex completely positive programs. The problems being studied include: a conic quadratically constrained quadratic program (QCQP), a conic quadratic program with complementarity constraints (QPCC), ...

Linear discrimination using second order conic programming

We propose a new p-norm linear discrimination model that generalizes the model of Bennett and Mangasarian (1992) and reduces to linear programming problem with p-order conic constraints. We demonstrate that the developed model possesses excellent methodological and computational properties (e.g., it does not allow for a null separating hyperplane when the sets are linearly separable, etc). The ...