عنوان
پدید آورنده
موضوع
رده
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
9781441948403
(Number (ISBN
9781475731507
NATIONAL BIBLIOGRAPHY NUMBER
Number
b402339
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Probabilistic Constrained Optimization
General Material Designation
[Book]
Other Title Information
Methodology and Applications /
First Statement of Responsibility
edited by Stanislav P. Uryasev.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Boston, MA :
Name of Publisher, Distributor, etc.
Imprint: Springer,
Date of Publication, Distribution, etc.
2000.
SERIES
Series Title
Nonconvex Optimization and Its Applications,
Volume Designation
49
ISSN of Series
1571-568X ;
CONTENTS NOTE
Text of Note
to the Theory of Probabilistic Functions and Percentiles -- Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights -- On Optimization of Unreliable Material Flow Systems -- Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts -- Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis -- Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems -- On Maximum Reliability Problem in Parallel-Series Systems with Two Failure Modes -- Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses -- Structure of Optimal Stopping Strategies for American Type Options -- Approximation of Value-at-Risk Problems with Decision Rules -- Managing Risk with Expected Shortfall -- On the Numerical Solution of Jointly Chance Constrained Problems -- Management of Quality of Service through Chance-constraints in Multimedia Networks -- Solution of a Product Substitution Problem Using Stochastic Programming -- Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk -- Statistical Inference of Stochastic Optimization Problems.
0
SUMMARY OR ABSTRACT
Text of Note
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.
OTHER EDITION IN ANOTHER MEDIUM
International Standard Book Number
9781441948403
PIECE
Title
Springer eBooks
TOPICAL NAME USED AS SUBJECT
Electronic data processing.
Mathematical optimization.
Mathematics.
Operations research.
PERSONAL NAME - PRIMARY RESPONSIBILITY
Uri︠a︡sʹev, S. P., (Stanislav Pavlovich)
CORPORATE BODY NAME - ALTERNATIVE RESPONSIBILITY
SpringerLink (Online service)
ORIGINATING SOURCE
Date of Transaction
20190307161100.0
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
