Stochastic Optimization In Finance And Life Insurance

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Stochastic Optimization Models in Finance

Author : William T. Ziemba
Publisher : World Scientific
ISBN 13 : 981256800X
Total Pages : 756 pages
Book Rating : 4.8/5 (125 download)

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Book Synopsis Stochastic Optimization Models in Finance by : William T. Ziemba

Download or read book Stochastic Optimization Models in Finance written by William T. Ziemba and published by World Scientific. This book was released on 2006 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt: A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.

Stochastic Optimization Models in Finance

Author : W. T. Ziemba
Publisher : Academic Press
ISBN 13 : 1483273997
Total Pages : 736 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis Stochastic Optimization Models in Finance by : W. T. Ziemba

Download or read book Stochastic Optimization Models in Finance written by W. T. Ziemba and published by Academic Press. This book was released on 2014-05-12 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.

Stochastic Optimization Methods in Finance and Energy

Author : Marida Bertocchi
Publisher : Springer Science & Business Media
ISBN 13 : 1441995862
Total Pages : 480 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Stochastic Optimization Methods in Finance and Energy by : Marida Bertocchi

Download or read book Stochastic Optimization Methods in Finance and Energy written by Marida Bertocchi and published by Springer Science & Business Media. This book was released on 2011-09-15 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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: Applications In Finance, Energy, Planning And Logistics

Author : Horand I Gassmann
Publisher : World Scientific
ISBN 13 : 9814407526
Total Pages : 549 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Programming: Applications In Finance, Energy, Planning And Logistics by : Horand I Gassmann

Download or read book Stochastic Programming: Applications In Finance, Energy, Planning And Logistics written by Horand I Gassmann and published by World Scientific. This book was released on 2012-11-28 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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./a

Stochastic Programming

Author : Horand Gassmann
Publisher : World Scientific
ISBN 13 : 981440750X
Total Pages : 549 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Programming by : Horand Gassmann

Download or read book Stochastic Programming written by Horand Gassmann and published by World Scientific. This book was released on 2013 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Risk and Insurance

Author : Søren Asmussen
Publisher : Springer Nature
ISBN 13 : 3030351769
Total Pages : 505 pages
Book Rating : 4.0/5 (33 download)

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Book Synopsis Risk and Insurance by : Søren Asmussen

Download or read book Risk and Insurance written by Søren Asmussen and published by Springer Nature. This book was released on 2020-04-17 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability. Both non-life and life aspects are covered. The emphasis is on probability and modeling rather than statistics and practical implementation. Aimed at the graduate level, pointing in part to current research topics, it can potentially replace other textbooks on basic non-life insurance mathematics and advanced risk management methods in non-life insurance. Based on chapters selected according to the particular topics in mind, the book may serve as a source for introductory courses to insurance mathematics for non-specialists, advanced courses for actuarial students, or courses on probabilistic aspects of risk. It will also be useful for practitioners and students/researchers in related areas such as finance and statistics who wish to get an overview of the general area of mathematical modeling and analysis in insurance.

Stochastic Optimization in Continuous Time

Author : Fwu-Ranq Chang
Publisher : Cambridge University Press
ISBN 13 : 1139452223
Total Pages : 346 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Stochastic Optimization in Continuous Time by : Fwu-Ranq Chang

Download or read book Stochastic Optimization in Continuous Time written by Fwu-Ranq Chang and published by Cambridge University Press. This book was released on 2004-04-26 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the book is that mathematical concepts are introduced in a language and terminology familiar to graduate students of economics. The standard topics of many mathematics, economics and finance books are illustrated with real examples documented in the economic literature. Moreover, the book emphasises the dos and don'ts of stochastic calculus, cautioning the reader that certain results and intuitions cherished by many economists do not extend to stochastic models. A special chapter (Chapter 5) is devoted to exploring various methods of finding a closed-form representation of the value function of a stochastic control problem, which is essential for ascertaining the optimal policy functions. The book also includes many practice exercises for the reader. Notes and suggested readings are provided at the end of each chapter for more references and possible extensions.

Handbook of Asset and Liability Management

Author : Stavros A. Zenios
Publisher : Elsevier
ISBN 13 : 0080548563
Total Pages : 685 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Handbook of Asset and Liability Management by : Stavros A. Zenios

Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2007-08-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management.The growth in knowledge about practical asset and liability modeling has followed the popularity of these models in diverse business settings. This volume portrays ALM in practice, in contrast to Volume 1, which addresses the theories and methodologies behind these models. In original articles practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds, and social security. They put the traditional purpose of ALM, to control interest rate and liquidity risks, into rich and broad-minded frameworks. Readers interested in other business settings will find their discussions of financial institutions both instructive and revealing.* Focuses on pragmatic applications * Relevant to a variety of risk-management industries* Analyzes models used in most financial sectors

Essentials Of Stochastic Finance: Facts, Models, Theory

Author : Albert N Shiryaev
Publisher : World Scientific
ISBN 13 : 9814495662
Total Pages : 852 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Essentials Of Stochastic Finance: Facts, Models, Theory by : Albert N Shiryaev

Download or read book Essentials Of Stochastic Finance: Facts, Models, Theory written by Albert N Shiryaev and published by World Scientific. This book was released on 1999-01-15 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.

Handbook of Research Methods and Applications in Empirical Finance

Author : Adrian R. Bell
Publisher : Edward Elgar Publishing
ISBN 13 : 0857936093
Total Pages : 494 pages
Book Rating : 4.8/5 (579 download)

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Book Synopsis Handbook of Research Methods and Applications in Empirical Finance by : Adrian R. Bell

Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.

The Importance of New Technologies and Entrepreneurship in Business Development: In The Context of Economic Diversity in Developing Countries

Download The Importance of New Technologies and Entrepreneurship in Business Development: In The Context of Economic Diversity in Developing Countries PDF Online Free

Author : Bahaaeddin Alareeni
Publisher : Springer Nature
ISBN 13 : 3030692213
Total Pages : 2139 pages
Book Rating : 4.0/5 (36 download)

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Book Synopsis The Importance of New Technologies and Entrepreneurship in Business Development: In The Context of Economic Diversity in Developing Countries by : Bahaaeddin Alareeni

Download or read book The Importance of New Technologies and Entrepreneurship in Business Development: In The Context of Economic Diversity in Developing Countries written by Bahaaeddin Alareeni and published by Springer Nature. This book was released on 2021-03-12 with total page 2139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the students, researchers and practitioners into the subject and enabling technologies and applications pertaining to of technology, entrepreneurship and business development through research articles, case studies etc. It is primarily intended for academic purposes for learners of computer Science, management, accounting and information systems disciplines, economics,- entrepreneurship. Publishing chapters in the book is new innovative idea to spread the book in the Middle East and Arab countries and make the book achieve more sales. As many students in all levels, graduates and undergraduates in addition to research, professionals are not able to get sufficient resources because of the language concern.

Optimization Methods in Finance

Author : Gerard Cornuejols
Publisher : Cambridge University Press
ISBN 13 : 9780521861700
Total Pages : 358 pages
Book Rating : 4.8/5 (617 download)

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Book Synopsis Optimization Methods in Finance by : Gerard Cornuejols

Download or read book Optimization Methods in Finance written by Gerard Cornuejols and published by Cambridge University Press. This book was released on 2006-12-21 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

Computation and Modelling in Insurance and Finance

Author : Erik Bølviken
Publisher : Cambridge University Press
ISBN 13 : 1107782627
Total Pages : 713 pages
Book Rating : 4.1/5 (77 download)

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Book Synopsis Computation and Modelling in Insurance and Finance by : Erik Bølviken

Download or read book Computation and Modelling in Insurance and Finance written by Erik Bølviken and published by Cambridge University Press. This book was released on 2014-04-10 with total page 713 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on what actuaries need in practice, this introductory account provides readers with essential tools for handling complex problems and explains how simulation models can be created, used and re-used (with modifications) in related situations. The book begins by outlining the basic tools of modelling and simulation, including a discussion of the Monte Carlo method and its use. Part II deals with general insurance and Part III with life insurance and financial risk. Algorithms that can be implemented on any programming platform are spread throughout and a program library written in R is included. Numerous figures and experiments with R-code illustrate the text. The author's non-technical approach is ideal for graduate students, the only prerequisites being introductory courses in calculus and linear algebra, probability and statistics. The book will also be of value to actuaries and other analysts in the industry looking to update their skills.

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott by : Samuel N Cohen

Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Financial Management of Life Insurance Companies

Author : J. David Cummins
Publisher : Springer Science & Business Media
ISBN 13 : 9401122083
Total Pages : 198 pages
Book Rating : 4.4/5 (11 download)

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Book Synopsis Financial Management of Life Insurance Companies by : J. David Cummins

Download or read book Financial Management of Life Insurance Companies written by J. David Cummins and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: th This book is published to commemorate the 50 Anniversary of the S.S. Huebner Foundation for Insurance Education. Administered at the Wharton School of the University of Pennsylvania, the Huebner Foundation was established in 1941 to strengthen insurance education at the collegiate level by increasing the number of professors specializing in insurance and enriching the literature in the field. The financial support of leading life insurance companies has enabled the Foundation to provide post-graduate education for prospective insurance teachers and scholars. Through its fellowship program, the Foundation supports students in the Ph.D. program in Risk and Insurance at the Wharton School. The success of the Foundation is measured by the accomplishments of its alumni. Former Huebner Fellows play leading roles in every major area of insurance education. Fellows teach insurance to tens of thousands of undergraduate and MBA students each year and have written hundreds of books and thousands of articles on insurance. Fellows hold leadership positions at the American College, the Life Office Management Association, and the Certified Employee Benefit Specialist Program. The Foundation was created in honor of Dr. Solomon S. Huebner, a pioneer in insurance education. Dr. Huebner taught the first organized course on the economics of insurance ever offered at the collegiate level in 1904. An internationally recognized author and teacher, Dr. Huebner had a profound impact on both insurance education and the insurance industry. He served on the faculty of the Wharton School for more than nearly fifty years.

Stochastic Economic Dynamics

Author : Bjarne S. Jensen
Publisher : Copenhagen Business School Press DK
ISBN 13 : 9788763001854
Total Pages : 464 pages
Book Rating : 4.0/5 (18 download)

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Book Synopsis Stochastic Economic Dynamics by : Bjarne S. Jensen

Download or read book Stochastic Economic Dynamics written by Bjarne S. Jensen and published by Copenhagen Business School Press DK. This book was released on 2007 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses stochastic dynamic systems across a broad spectrum in economics and finance. The major unifying theme is the coherent and rigorous treatment of uncertainty and its implications for describing stochastic processes by the stochastic differential equations of the fundamental models in various fields. Pertinent subjects are interrelated, juxtaposed, and examined for consistency in theoretical and empirical contexts. The volume consists of three parts: Developments in Stochastic Dynamics; Stochastic Dynamics in Basic Economic Growth Models; Intertemporal Optimisation in Consumption, Finance, and Growth. Key topics include: fractional Brownian motion in finance; moment evolution of Gaussian and geometric Wiener diffusions; stochastic kinematics and stochastic mechanics; stochastic growth in continuous time; time delays and Hopf bifurcation; consumption and investment strategies; differential systems in finance and life insurance; uncertainty of technological innovations; investment and employment cycles; stochastic control theory; and risk aversion. The works collected in this book serves to bridge the "old" deterministic dynamics and the "new" stochastic dynamics. The collection is important for scholars and advanced graduate students of economics, statistics, and applied mathematics.

Pension Fund Risk Management

Author : Marco Micocci
Publisher : CRC Press
ISBN 13 : 1439817545
Total Pages : 766 pages
Book Rating : 4.4/5 (398 download)

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Book Synopsis Pension Fund Risk Management by : Marco Micocci

Download or read book Pension Fund Risk Management written by Marco Micocci and published by CRC Press. This book was released on 2010-01-25 with total page 766 pages. Available in PDF, EPUB and Kindle. Book excerpt: As pension fund systems decrease and dependency ratios increase, risk management is becoming more complex in public and private pension plans. Pension Fund Risk Management: Financial and Actuarial Modeling sheds new light on the current state of pension fund risk management and provides new technical tools for addressing pension risk from an integr