Overview

Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.

Full Product Details

Author:   Erricos John Kontoghiorghes ,  B. Rustem ,  S. Siokos
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of hardcover 1st ed. 2002
Volume:   74
Dimensions:   Width: 15.50cm , Height: 3.30cm , Length: 23.50cm
Weight:   1.197kg
ISBN:  

9781441952301

ISBN 10:   1441952306
Pages:   626
Publication Date:   07 December 2010
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of stock  
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

Table of Contents

Preface. Contributing Authors. Part I: Optimization Models. 1. Multi-period optimal asset allocation for a multi-currency hedged portfolio; D. Mignacca, A. Meucci. 2. Rebalancing Strategies for Long-term Investors; J.M. Mulvey, K.D. Simsek. 3. Multistage stochastic programming in computational finance; N. Gulpinar, et al. 4. Multistage stochastic optimization model for the cash management problem; O. Schmid. 5. Robust portfolio analysis; B. Rustem, R. Settergren. 6. Robust mean-semivariance portfolio optimization; O.L.V. Costa, et al. 7. Perturbative approaches for robust optimal portfolio problems; F. Trojani, P. Vanini. 8. Maxmin Portfolios in Models where Immunization is not Feasible; A. Balbás, A. Ibáñez. 9. Portfolio Optimization with VaR and Expected Shortfall; M. Gilli, E. Këllezi. 10. Borrowing Constraints, Portfolio Choice, and Precautionary Motives; M. Haliassos, C. Hassapis. 11. The risk profile problem for stock portfolio optimization; M.-Y. Kao, et al. 12. A capacitated transportation-inventory problem with stochastic demands; P. Chaovalitwongse, et al. 13. Utility maximisation with a time lag in trading; L.C.G. Rogers, E.J. Stapleton. 14. Simulations for hedging financial contracts with optimal decisions; H. Windcliff, et al. 15. Automatic differentiation for computational finance; C.H. Bischof, et al. Part II: Equilibria, Modelling and Pricing. 16. Interest rate barrier options; G. Barone-Adesi, G. Sorwar. 17. Pricing American optionsby fast solutions of LCPs; A. Borici, H.-J. Lüthi. 18. Hedging with Monte Carlo simulation; J. Cvitanić, et al. 19. In Search of Deterministic Complex Patterns in Commodity Prices; A. Chatrath, et al. 20. A review of stock market prediction using computational methods; I.E. Diakoulakis, et al. 21. Numericalstrategies for solving SUR models; P. Foschi, et al. 22. Time-Frequency Representation in the Analysis of Stock Market Data; G. Turhan-Sayan, S. Sayan. 23. Opportunity cost algorithms for combinatorial auctions; K. Akcoglu, et al. 24. A finite states contraction algorithm for dynamic models; J.X. Li. 25. Traffic network equilibrium and the environment; A. Nagurney, et al. 26. Mathematical model of technology diffusion in developing countries; Ding Zhang, et al. 27. Estimation of Stochastic Volatility Models; F. Bartolucci, G. De Luca. 28. Genetic programming with syntactic restrictions applied to financial volatility forecasting; G. Zumbach, et al. 29. Simulation-based tests of PTM; L. Khalaf, M. Kichian. 30. Credit risk assessment using a multicriteria hierarchical discrimination approach; K. Kosmidou, et al.

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