Buch, Englisch, Band 49, 308 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 1390 g
Methodology and Applications
Buch, Englisch, Band 49, 308 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 1390 g
Reihe: Nonconvex Optimization and Its Applications
ISBN: 978-0-7923-6644-7
Verlag: Springer US
Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options).
Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
- Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Mathematik | Informatik Mathematik Operations Research Spieltheorie
- Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
- Mathematik | Informatik Mathematik Mathematische Analysis Variationsrechnung
- Technische Wissenschaften Maschinenbau | Werkstoffkunde Produktionstechnik Fertigungstechnik
- Mathematik | Informatik EDV | Informatik Informatik
Weitere Infos & Material
to the Theory of Probabilistic Functions and Percentiles.- Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights.- On Optimization of Unreliable Material Flow Systems.- Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts.- Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis.- Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems.- On Maximum Reliability Problem in Parallel-Series Systems with Two Failure Modes.- Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses.- Structure of Optimal Stopping Strategies for American Type Options.- Approximation of Value-at-Risk Problems with Decision Rules.- Managing Risk with Expected Shortfall.- On the Numerical Solution of Jointly Chance Constrained Problems.- Management of Quality of Service through Chance-constraints in Multimedia Networks.- Solution of a Product Substitution Problem Using Stochastic Programming.- Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk.- Statistical Inference of Stochastic Optimization Problems.
