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Nonconvex Optimization and Its Applications

Probabilistic Constrained Optimization

Methodology and Applications

Editors: Uryasev, Stanislav (Ed.)

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eBook $149.00
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  • ISBN 978-1-4757-3150-7
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Hardcover $199.00
price for USA
  • ISBN 978-0-7923-6644-7
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  • Usually dispatched within 3 to 5 business days.
Softcover $199.00
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  • ISBN 978-1-4419-4840-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

Reviews

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

Table of contents (16 chapters)

  • Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)

    Uryasev, S.

    Pages 1-25

  • Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights

    Broadie, Mark (et al.)

    Pages 26-44

  • On Optimization of Unreliable Material Flow Systems

    Ermoliev, Yu. (et al.)

    Pages 45-66

  • Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts

    Frauendorfer, Karl (et al.)

    Pages 67-101

  • Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis

    Golodnikov, Alexandr N. (et al.)

    Pages 102-131

Buy this book

eBook $149.00
price for USA (gross)
  • ISBN 978-1-4757-3150-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $199.00
price for USA
  • ISBN 978-0-7923-6644-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $199.00
price for USA
  • ISBN 978-1-4419-4840-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Probabilistic Constrained Optimization
Book Subtitle
Methodology and Applications
Editors
  • Stanislav Uryasev
Series Title
Nonconvex Optimization and Its Applications
Series Volume
49
Copyright
2000
Publisher
Springer US
Copyright Holder
Springer-Verlag US
eBook ISBN
978-1-4757-3150-7
DOI
10.1007/978-1-4757-3150-7
Hardcover ISBN
978-0-7923-6644-7
Softcover ISBN
978-1-4419-4840-3
Series ISSN
1571-568X
Edition Number
1
Number of Pages
XII, 308
Topics