| Probabilistic Constrained Optimization: Methodology and Applications Contributor(s): Uryasev, Stanislav (Editor) |
|
 |
ISBN: 1441948406 ISBN-13: 9781441948403 Publisher: Springer OUR PRICE: $104.49 Product Type: Paperback - Other Formats Published: December 2010 |
| Additional Information |
| BISAC Categories: - Mathematics | Linear & Nonlinear Programming - Computers | Computer Science - Mathematics | Applied |
| Dewey: 332.601 |
| Series: Nonconvex Optimization and Its Applications |
| Physical Information: 308 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |