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

Stanislav P. Uraysev (Editor)

ISBN 10: 0792366441 / ISBN 13: 9780792366447

Published by Kluwer Academic Publishers, 2000

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Bibliographic Details

• Title: Probabilistic Constrained Optimization: Methodology and Applications (Nonconvex Optimization & Its Applications)
• Publisher: Kluwer Academic Publishers
• Publication Date: 2000
• Language: English
• ISBN 10: 0792366441
• ISBN 13: 9780792366447
• Binding: Hardcover
• Condition: New
• Seller catalogs:
  • ECONOMICS

About this title

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.

Review

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