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Computational Methods in Decision-Making, Economics and Finance (Paperback, Softcover reprint of hardcover 1st ed. 2002)
Loot Price: R8,627
Discovery Miles 86 270
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Computational Methods in Decision-Making, Economics and Finance (Paperback, Softcover reprint of hardcover 1st ed. 2002)
Series: Applied Optimization, 74
Expected to ship within 10 - 15 working days
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Computing has become essential for the modeling, analysis, and
optimization of systems. This book is devoted to algorithms,
computational analysis, and decision models. The chapters are
organized in two parts: optimization models of decisions and models
of pricing and equilibria.
Optimization is at the core of rational decision making. Even when
the decision maker has more than one goal or there is significant
uncertainty in the system, optimization provides a rational
framework for efficient decisions. The Markowitz mean-variance
formulation is a classical example. The first part of the book is
on recent developments in optimization decision models for finance
and economics. The first four chapters of this part focus directly
on multi-stage problems in finance. Chapters 5-8 involve the use of
worst-case robust analysis. Chapters 9-11 are devoted to portfolio
optimization. The final four chapters are on
transportation-inventory with stochastic demand; optimal investment
with CRRA utility; hedging financial contracts; and, automatic
differentiation for computational finance.
The uncertainty associated with prediction and modeling constantly
requires the development of improved methods and models. Similarly,
as systems strive towards equilibria, the characterization and
computation of equilibria assists analysis and prediction. The
second part of the book is devoted to recent research in
computational tools and models of equilibria, prediction, and
pricing. The first three chapters of this part consider hedging
issues in finance. Chapters 19-22 consider prediction and modeling
methodologies. Chapters 23-26 focus on auctions and equilibria.
Volatility models are investigated in chapters 27-28. The final two
chapters investigate risk assessment and product pricing.
Audience: Researchers working in computational issues related to
economics, finance, and management science.
General
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