Probabilistic Constrained Optimization: Methodology and Applications (Nonconvex Optimization and Its Applications, 49) - Hardcover

 
9780792366447: Probabilistic Constrained Optimization: Methodology and Applications (Nonconvex Optimization and Its Applications, 49)
Hardcover
ISBN 10: 0792366441 ISBN 13: 9780792366447
Publisher: Springer, 2000

Synopsis

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.

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Review

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

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
2000
Language
English
ISBN 10 
0792366441
ISBN 13 
9780792366447
Binding
Hardcover
Number of pages
320
Editor
Uryasev Stanislav

Other Popular Editions of the Same Title

9781441948403: Probabilistic Constrained Optimization: Methodology and Applications (Nonconvex Optimization and Its Applications)

Featured Edition

ISBN 10:  1441948406 ISBN 13:  9781441948403
Publisher: Springer, 2010
Softcover