Stochastic Optimization Methods In Finance And Energy

DOWNLOAD

Download Stochastic Optimization Methods In Finance And Energy PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Stochastic Optimization Methods In Finance And Energy book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Stochastic Optimization Methods In Finance And Energy

DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2011-09-11

Stochastic Optimization Methods In Finance And Energy written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-11 with categories.

Stochastic Optimization Methods In Finance And Energy

DOWNLOAD
Author : Marida Bertocchi
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-09-15

Stochastic Optimization Methods In Finance And Energy written by Marida Bertocchi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-15 with Business & Economics categories.

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.

Stochastic Programming

DOWNLOAD
Author : Horand Gassmann
language : en
Publisher: World Scientific
Release Date : 2013

Stochastic Programming written by Horand Gassmann and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

Stochastic Optimization

DOWNLOAD
Author : Stanislav Uryasev
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-05-31

Stochastic Optimization written by Stanislav Uryasev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-05-31 with Technology & Engineering categories.

Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Multistage Stochastic Optimization

DOWNLOAD
Author : Georg Ch. Pflug
language : en
Publisher: Springer
Release Date : 2014-11-12

Multistage Stochastic Optimization written by Georg Ch. Pflug and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-12 with Business & Economics categories.

Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book.

Quantitative Financial Risk Management

DOWNLOAD
Author : Constantin Zopounidis
language : en
Publisher: John Wiley & Sons
Release Date : 2015-05-06

Quantitative Financial Risk Management written by Constantin Zopounidis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-06 with Business & Economics categories.

A Comprehensive Guide to Quantitative Financial Risk Management Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets. This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis. Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.

Asset Liability Management For Financial Institutions

DOWNLOAD
Author : Bob Swarup
language : en
Publisher: Bloomsbury Publishing
Release Date : 2012-05-24

Asset Liability Management For Financial Institutions written by Bob Swarup and has been published by Bloomsbury Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-24 with Business & Economics categories.

Effective asset-liability management (ALM) of a financial institution requires making informed strategic and operational decisions. Ever more important in the wake of the corporate bailouts and collapses of the financial crisis, ALM encompasses the formulation, implementation, monitoring, and revision of strategies, often on a daily basis due to the fast-moving nature of the related risks and constraints. This approachable book features up-to-date practitioner and academic perspectives to provide you with the knowledge you need. Key foundation information is backed up by the latest research and thought leadership to form a comprehensive guide to ALM for today and into the future, with case studies and worked examples. Detailed coverage includes: * Successful risk management frameworks * Coherent stress-testing * Modeling market risk * Derivatives and ALM * Contingency funding to manage liquidity risks * Basel III capital adequacy standard * Investment management for insurers * Property and casualty portfolio management * Funds transfer pricing * Problem loan modeling

Optimal Financial Decision Making Under Uncertainty

DOWNLOAD
Author : Giorgio Consigli
language : en
Publisher: Springer
Release Date : 2016-10-17

Optimal Financial Decision Making Under Uncertainty written by Giorgio Consigli and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-17 with Business & Economics categories.

The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management. The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows: Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas. Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods. Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems. Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.

Machine Learning Optimization And Data Science

DOWNLOAD
Author : Giuseppe Nicosia
language : en
Publisher: Springer Nature
Release Date : 2021-01-07

Machine Learning Optimization And Data Science written by Giuseppe Nicosia and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-01-07 with Computers categories.

This two-volume set, LNCS 12565 and 12566, constitutes the refereed proceedings of the 6th International Conference on Machine Learning, Optimization, and Data Science, LOD 2020, held in Siena, Italy, in July 2020. The total of 116 full papers presented in this two-volume post-conference proceedings set was carefully reviewed and selected from 209 submissions. These research articles were written by leading scientists in the fields of machine learning, artificial intelligence, reinforcement learning, computational optimization, and data science presenting a substantial array of ideas, technologies, algorithms, methods, and applications.

Optimization Models In Electricity Markets

DOWNLOAD
Author : Anthony Papavasiliou
language : en
Publisher: Cambridge University Press
Release Date : 2024-05-31

Optimization Models In Electricity Markets written by Anthony Papavasiliou and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-05-31 with Science categories.

Get up-to-speed with the fundamentals of how electricity markets are structured and operated with this comprehensive textbook, presenting coverage of key topics in electricity market design, including power system and power market operations, transmission, unit commitment, demand response, and risk management. It includes over 140 practical examples, inspired by real-industry applications, connecting key theoretical concepts to practical scenarios in electricity market design, and features over 100 coding-based examples and exercises, with selected solutions for readers. It further demonstrates how mathematical programming models are implemented in an industry setting. Requiring no experience in power systems or energy economics, this is the ideal introduction to electricity markets for senior undergraduate and graduate students in electrical engineering, economics, and operations research, and a robust introduction to the field for professionals in utilities, energy policy, and energy regulation. Accompanied online by datasets, AMPL code, supporting videos, and full solutions and lecture slides for instructors.