Variational Inequalities In Management Science And Finance
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Variational Inequalities In Management Science And Finance
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Author : Andrianos E. Tsekrekos
language : en
Publisher: Springer Nature
Release Date : 2024-12-20
Variational Inequalities In Management Science And Finance written by Andrianos E. Tsekrekos and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-12-20 with Business & Economics categories.
This book provides a rigorous introduction to the theory, computation, and applications of variational inequalities (VIs), with a focus on applications in management science and finance. It aims to bridge the gap between the abstract mathematical treatments of the subject and simplistic, non-rigorous approaches often used in financial economics or managerial literature. Building on fundamental examples of concrete applications drawn from management science and finance, the book gradually develops the connection between optimal stopping problems and variational inequalities. It provides precise results on their derivation, solution properties, and their use to derive optimal policies in general frameworks of stochastic factors driving the state processes. Emphasis is also placed on the numerical treatment and approximation of VIs. All technical results are illustrated in detail for the characteristic problems presented at the beginning as motivating examples. It also offers a brief introduction to more advanced topics, including VIs for multi-scale problems and VIs related to optimal stopping problems under model uncertainty. This book will be of interest to graduate students and researchers who wish for a quick, yet thorough introduction to the field. Practitioners who want to familiarise themselves with applications of VIs in management science and finance will also find this book useful.
Handbooks In Operations Research And Management Science Financial Engineering
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Author : John R. Birge
language : en
Publisher: Elsevier
Release Date : 2007-11-16
Handbooks In Operations Research And Management Science Financial Engineering written by John R. Birge and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-16 with Business & Economics categories.
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Projected Dynamical Systems And Variational Inequalities With Applications
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Author : Anna Nagurney
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Projected Dynamical Systems And Variational Inequalities With Applications written by Anna Nagurney 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 2012-12-06 with Business & Economics categories.
Equilibrium is a concept used in operations research and economics to understand the interplay of factors and problems arising from competitive systems in the economic world. The problems in this area are large and complex and have involved a variety of mathematical methodologies. In this monograph, the authors have widened the scope of theoretical work with a new approach, `projected dynamical systems theory', to previous work in variational inequality theory. While most classical work in this area is static, the introduction to the theory of projected dynamical systems will allow many real-life dynamic situations and problems to be handled and modeled. This monograph includes: a new theoretical approach, `projected dynamical system', which allows the researcher to model real-life situations more accurately; new mathematical methods allowing researchers to combine other theoretical approaches with the projected dynamical systems approach; a framework in which research can adequately model natural, financial and human (real life) situations in competitive equilibrium problems; the computational and numerical methods for the implementation of the methods and theory discussed in the book; stability analysis, algorithms and computational procedures are offered for each set of applications.
Financial Modeling
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Author : Stephane Crepey
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-13
Financial Modeling written by Stephane Crepey 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 2013-06-13 with Computers categories.
Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey’s book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey’s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics. Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance
Supply Chain Network Economics
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Author : Anna Nagurney
language : en
Publisher: Edward Elgar Publishing
Release Date : 2006-01-01
Supply Chain Network Economics written by Anna Nagurney and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-01 with Business & Economics categories.
This book is the first to bring an economics perspective in a rigorous manner to complex decision-making in the management of supply chains. It provides the foundations for the modeling of the interrelationships among decision-makers in supply chains, ranging from manufacturers, distributors, and retailers, to the consumers, assuming individualized behavior. The models handle both competition and cooperation and provide the resulting product flows and prices in the chains. A unique network economics perspective is brought to the issue, setting the book apart from the numerous management and operations research volumes available. After an introduction of the theoretical foundations, the book then extends and applies the theory to energy supply chains in the form of electric power generation and distribution networks. The relationships between electric power supply chains and transportation networks are vividly captured through theoretical results and the solution of practical examples. The book then explores environmental supply chain and financial networks with intermediation, which are interpreted as supply chains and also solved as such. Throughout, the underlying theme is that of transportation networks and how the relationships between supply chain networks and the more established theory of transportation network equilibria can be applied and exploited for logistic-type applications. Economists and transportation researchers will find the book's theory and applications of great interest. Operations researchers and management scientists as well as practitioners in business logistics will be interested in the book's methodological and practical tools.
Pareto Optimality Game Theory And Equilibria
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Author : Panos M. Pardalos
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-07-02
Pareto Optimality Game Theory And Equilibria written by Panos M. Pardalos 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 2008-07-02 with Mathematics categories.
This comprehensive work examines important recent developments and modern applications in the fields of optimization, control, game theory and equilibrium programming. In particular, the concepts of equilibrium and optimality are of immense practical importance affecting decision-making problems regarding policy and strategies, and in understanding and predicting systems in different application domains, ranging from economics and engineering to military applications. The book consists of 29 survey chapters written by distinguished researchers in the above areas.
Numerical Methods In Finance
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Author : L. C. G. Rogers
language : en
Publisher: Cambridge University Press
Release Date : 1997-06-26
Numerical Methods In Finance written by L. C. G. Rogers 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 1997-06-26 with Business & Economics categories.
Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.
Financial Modelling With Jump Processes
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Author : Rama Cont
language : en
Publisher: CRC Press
Release Date : 2003-12-30
Financial Modelling With Jump Processes written by Rama Cont and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-30 with Business & Economics categories.
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Recent Advances In Financial Engineering
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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2009
Recent Advances In Financial Engineering written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.
Equilibrium And Advanced Transportation Modelling
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Author : P. Marcotte
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Equilibrium And Advanced Transportation Modelling written by P. Marcotte 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 2013-06-29 with Business & Economics categories.
Each chapter in Equilibrium and Advanced Transportation Modelling develops a topic from basic concepts to the state-of-the-art, and beyond. All chapters relate to aspects of network equilibrium. Chapter One advocates the use of simulation models for the representation of traffic flow movements at the microscopic level. Chapter Two presents travel demand systems for generating trip matrices from activity-based models, taking into account the entire daily schedule of network users. Chapter Three examines equilibrium strategic choices adopted by the passengers of a congested transit system, carefully addressing line selection at boarding and transfer nodes. Chapter Four provides a critical appraisal of the traditional process that consists in sequentially performing the tasks of trip generation, trip distribution, mode split and assignment, and its impact on the practice of transportation planning. Chapter Five gives an insightful overview of stochastic assignment models, both in the static and dynamic cases. Chapters Six and Seven investigate the setting of tolls to improve traffic flow conditions in a congested transportation network. Chapter Eight provides a unifying framework for the analysis of multicriteria assignment models. In this chapter, available algorithms are summarized and an econometric perspective on the estimation of heterogeneous preferences is given. Chapter Nine surveys the use of hyperpaths in operations research and proposes a new paradigm of equilibrium in a capacitated network, with an application to transit assignment. Chapter Ten analyzes the transient states of a system moving towards equilibrium, using the mathematical framework of projected dynamical systems. Chapter Eleven discusses an in-depth survey of algorithms for solving shortest path problems, which are pervasive to any equilibrium algorithm. The chapter devotes special attention to the computation of dynamic shortest paths and to shortest hyperpaths. The final chapter considers operations research tools for reducing traffic congestion, in particular introducing an algorithm for solving a signal-setting problem formulated as a bilevel program.