Angebote zu "Optimization" (20 Treffer)

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Biologically Optimized Radiation Therapy
317,00 CHF *
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This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, real alternative assets (RAA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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Portfolio Optimization and Option Pricing
116,00 CHF *
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The main two areas of financial mathematics are portfolio optimization and option pricing. Portfolio optimization deals with the determination of the best investment strategy under certain constraints (e.g. risk, liquidity or budget constraints). Option pricing is concerned with valuation of derivative contracts with complex payoffs, dependent on tradable assets. The first part of the book deals with realistic problems of portfolio optimization. Thereby, the expected outcome of a utility function under constraints is maximised. For instance, the portfolio is optimized with fixed income and consumption constraints. The borrower rates of an investor depend on his debt-ratio, but usually they are assumed to be debt-independent. The author shows, how debt-ratio dependent borrower rates can be incorporated into portfolio optimization and how they affect the optimal trading strategy. In the second part of the book, some efficient methods to price Asian and average options are introduced. This book is adressed to quantitative researchers and portfolio managers in insurance companies and investment banks, as well as students of economics and financial mathematics.

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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Handbook of High-Frequency Tra
202,00 CHF *
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Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: * Contributions by well-known experts within the academic, industrial, and regulatory fields * A well-structured outline on the various data analysis methodologies used to identify new trading opportunities * Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets * Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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Probabilistic Constrained Optimization
257,00 CHF *
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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.

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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Handbook of High-Frequency Trading and Modeling...
125,00 CHF *
ggf. zzgl. Versand

Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: Contributions by well-known experts within the academic, industrial, and regulatory fields A well-structured outline on the various data analysis methodologies used to identify new trading opportunities Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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Handbook of Risk Management in Energy Productio...
250,90 CHF *
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This book presents an overview of the risks involved in modern electricity production, delivery and trading, including technical risk in production, transportation and delivery, operational risk for the system operators, market risks for traders, and political and other long term risks in strategic management. Using decision making under uncertainty as a methodological background, the book is divided into four parts, with Part I focusing on energy markets, particularly electricity markets. Topics include a nontechnical overview of energy markets and their main properties, basic price models for energy commodity prices, and modeling approaches for electricity price processes. Part II looks at optimal decisions in managing energy systems, including hydropower dispatch models, cutting plane algorithms and approximative dynamic programming; hydro-thermal production; renewable; stochastic investments and operational optimization models for natural gas transport; decision making in operating electricity networks; and investment in extending energy production systems. Part III explores pricing, including electricity swing options and the pricing of derivatives with volume control. Part IV looks at long-term and political risks, including energy systems under aspects of climate change, and catastrophic operational risks, particularly risks from terrorist attacks.

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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Handbook of High-Frequency Trading and Modeling...
125,00 CHF *
ggf. zzgl. Versand

Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: * Contributions by well-known experts within the academic, industrial, and regulatory fields * A well-structured outline on the various data analysis methodologies used to identify new trading opportunities * Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets * Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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Implementing Models in Quantitative Finance: Me...
125,90 CHF *
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This book puts numerical methods in action for the purpose of solving practical problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, Laplace transforms and quadrature methods. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithms are implemented using either Matlab or Visual Basic and are all made available in a companion CD. The book originates from class notes and case-studies developed within courses on Numerical Methods for Finance and Exotic Derivatives held by the authors at Bocconi University since the year 2000. TOC:Contents: Part I: Methods. Finite Difference Methods; Numerical Solution of Linear Systems; Basic Monte Carlo; Advanced Monte Carlo; Quadrature Methods; Laplace Transforms; Structuring Dependence using Copula Functions; Dynamic Programming - Part II: Cases. Portfolio Selection: 'Optimizing an Error'; Alpha, Beta, and Beyond; Automatic Trading: Winning or Losing in a kBit; Estimating the Risk Neutral Density; An 'American' Monte Carlo; Fixing Volatile Volatility; An Average Problem; Quasi Monte Carlo; Lookback Options: A Discrete Problem; Electrifying the Price of Power; A Sparkling Option; Swinging on a Tree; Floating-Rate Mortgages; Basket Default Swaps; Scenario Simulation using Principal Components; Parametric estimation of Jump-Diffusions; Nonparametric Estimation of Jump-Diffusions; A Smiling GARCH. Appendices. Companion CD. .

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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Uncertainty in the Electric Power Industry
198,90 CHF *
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Around the world, liberalization and privatization in the electricity industry have lead to increased competition among utilities. At the same time, utilities are now exposed more than ever to risk and uncertainties, which they cannot pass on to their customers through price increases as in a regulated environment. Especially electricity-generating companies have to face volatile wholesale prices, fuel price uncertainty, limited long-term hedging possibilities and huge, to a large extent, sunk investments. In this context, Uncertainty in the Electric Power Industry: Methods and Models for Decision Support aims at an integrative view on the decision problems that power companies have to tackle. It systematically examines the uncertainties power companies are facing and develops models to describe them - including an innovative approach combining fundamental and finance models for price modeling. The optimization of generation and trading portfolios under uncertainty is discussed with particular focus on CHP and is linked to risk management. Here the concept of integral earnings at risk is developed to provide a theoretically sound combination of value at risk and profit at risk approaches, adapted to real market structures and market liquidity. Also methods for supporting long-term investment decisions are presented: technology assessment based on experience curves and operation simulation for fuel cells and a real options approach with endogenous electricity prices. TOC:Introduction.- Deregulation and Markets in the Electricity Industry.- Decision Making and Uncertainties in the Electricity Industry.- Modelling Electricity Prices.- Modeling Competition in the Electricity Industry.- Optimizing Generation and Trading Portfolios.- Risk Management and Risk Controlling.- Technology Assessment.- Investment Decisions.- Final Remarks.- References.- Index.

Anbieter: Orell Fuessli CH
Stand: 28.10.2020
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