Probabilistic Constrained Optimization: Methodology and Applications: 49 - Rilegato

 
9780792366447: Probabilistic Constrained Optimization: Methodology and Applications: 49
Rilegato
ISBN 10: 0792366441 ISBN 13: 9780792366447
Casa editrice: Springer-Verlag GmbH, 2000

Sinossi

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.

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Recensione

`It can be recommened to graduate students, researchers and practitioners in operation research and financial decision-making problems.'
Mathematical Reviews, 2002a

Contenuti

Preface. Introduction to the Theory of Probabilistic Functions and Percentiles; S. Uryasev. Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights; M. Broadie, et al. On Optimization of Unreliable Material Flow Systems; Y. Ermoliev, et al. Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts; K. Frauendorfer, M. Schürle. Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis; A.N. Golodnikov, et al. Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems; Y.S. Kan, A.I. Kibzun. On Maximum Realiability Problem in Parallel-Series Systems with Two Failure Modes; V. Kirilyuk. Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses; A. Kreinin, A. Levin. Structure of Optimal Stopping Strategies for American Type Options; A.G. Kukush, D.S. Silvestrov. Approximation of Value-at-Risk Problems with Decision Rules; R. Lepp. Managing Risk with Expected Shortfall; H. Mausser, D. Rosen. On the Numerical Solution of Jointly Chance Constrained Problems; J. Mayer. Management of Quality of Service through Chance-constraints in Multimedia Networks; E.A. Medova, J.E. Scott. Solution of a Product Substitution Problem Using Stochastic Programming; M.R. Murr, A. Prékopa. Some Remarks on the Value-at-Risk and the Conditional Value-at-risk; G.Ch. Pflug. Statistical Inference of Stochastic Optimization Problems; A. Shapiro.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer-Verlag GmbH
Data di pubblicazione
2000
Lingua
Inglese
ISBN 10 
0792366441
ISBN 13 
9780792366447
Rilegatura
Copertina rigida
Numero di pagine
324
Redattore
Uryasev Stanislav
Contatto del produttore
non disponibile
Persona responsabile
Springer Nature Customer Service Center GmbH
ProductSafety@springernature.com

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Altre edizioni note dello stesso titolo

9781441948403: Probabilistic Constrained Optimization: Methodology and Applications: 49

Edizione in evidenza

ISBN 10:  1441948406 ISBN 13:  9781441948403
Casa editrice: Springer, 2010
Brossura