Computational Methods in Decision-Making, Economics and Finance / Edition 1

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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.

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Product Details

  • ISBN-13: 9781441952301
  • Publisher: Springer US
  • Publication date: 12/7/2010
  • Series: Applied Optimization Series , #74
  • Edition description: Softcover reprint of hardcover 1st ed. 2002
  • Edition number: 1
  • Pages: 626
  • Product dimensions: 6.14 (w) x 9.21 (h) x 1.31 (d)

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 shastic programming in computational finance; N. Gulpinar, et al. 4. Multistage shastic 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 sk portfolio optimization; M.-Y. Kao, et al. 12. A capacitated transportation-inventory problem with shastic 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. Cvitanic, et al. 19. In Search of Deterministic Complex Patterns in Commodity Prices; A. Chatrath, et al. 20. A review of sk market prediction using computational methods; I.E. Diakoulakis, et al. 21. Numerical strategies for solving SUR models; P. Foschi, et al. 22. Time-Frequency Representation in the Analysis of Sk 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 Shastic 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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