ddsip.vSD is a C-implementation of a number of scenario decomposition algorithms for stochastic linear programs with firstor second-order stochastic dominance constraints induced by mixed-integer linear recourse. The program is based on a previous implementation of scenario decomposition algorithms for mean-risk models of A. Märkert [20]. Main idea of the decomposition algorithms is the Lagrang...

The research presented in this paper provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly popular between academics and practitioners due to their surprising consistency with financial markets. However, they bring several challenges alongside. Most noticeably, even simple nonlinear derivatives as vanilla Euro...

For a particular class of minimax stochastic programming models, we show that the problem can be equivalently reformulated into a standard stochastic programming problem. This permits the direct use of standard decomposition and sampling methods developed for stochastic programming. We also show that this class of minimax stochastic programs is closely related to a large family of mean-risk sto...