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.
| ISBN: | 9781441948403 |
| Publication date: | 7th December 2010 |
| Author: | S P Uriasev |
| Publisher: | Springer an imprint of Springer US |
| Format: | Paperback |
| Pagination: | 320 pages |
| Series: | Nonconvex Optimization and Its Applications |
| Genres: |
Optimization Mathematical modelling Management decision making Numerical analysis Finance and the finance industry Operational research Maths for engineers Production and industrial engineering |
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.
Probabilistic Constrained Optimization features in the following genres: Optimization, Mathematical modelling, Management decision making, Numerical analysis, Finance and the finance industry, Operational research, Maths for engineers, Production and industrial engineering
Probabilistic Constrained Optimization is available in Paperback, Hardback
Probabilistic Constrained Optimization was written by S P Uriasev and published by Springer an imprint of Springer US
Probabilistic Constrained Optimization has 320 pages
Yes it is part of Nonconvex Optimization and Its Applications series