Probabilistic Constrained Optimization : Methodology and Applications

Stanislav Uryasev

ISBN 10: 1441948406 / ISBN 13: 9781441948403

Verlag: Springer US, 2010

Beschreibung

Druck auf Anfrage Neuware - Printed after ordering - 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. Bestandsnummer des Verkäufers 9781441948403

Bibliografische Details

Titel: Probabilistic Constrained Optimization : ...

Verlag: Springer US

Erscheinungsdatum: 2010

Einband: Taschenbuch

Zustand: Neu

Über diesen Titel

Críticas:

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