ENGLISH

Probabilistic Constrained Optimization: Methodology and Applications

By S. Uryasev (auth.) , Stanislav P. Uryasev (eds.)

Book information

Publisher
Springer US
Year
2000
ISBN
978-1-4419-4840-3, 978-1-4757-3150-7
DOI
10.1007/978-1-4757-3150-7
Language
english
Format
PDF
Filesize
11 MB (11078224 bytes)
Series
Nonconvex Optimization and Its Applications 49
Edition
1
Pages
308\318
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Calculus of Variations and Optimal Control; Optimi

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.

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