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Probabilistic Constrained Optimization: Methodology and Applications: 49 (Nonconvex Optimization and Its Applications, 49) - Hardcover
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
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 work 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).
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Probabilistic Constrained Optimization: Methodology and Applications (Nonconvex Optimization & Its Applications)
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Probabilistic Constrained Optimization: Methodology and Applications (Nonconvex Optimization and Its Applications, 49)
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Probabilistic Constrained Optimization: Methodology And Applications (nonconvex Optimization And Its Applications)
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Probabilistic Constrained Optimization (Hardcover)
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Kluwer Academic Publishers, Dordrecht, 2000
ISBN 10: 0792366441
ISBN 13: 9780792366447
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Hardcover. Condition: new. Hardcover. 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 work 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). Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780792366447
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Probabilistic Constrained Optimization : Methodology and Applications
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