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This volume contains a selection of papers presented at the first
conference of the Society for Computational Economics held at ICC
Institute, Austin, Texas, May 21-24, 1995. Twenty-two papers are
included in this volume, devoted to applications of computational
methods for the empirical analysis of economic and financial
systems; the development of computing methodology, including
software, related to economics and finance; and the overall impact
of developments in computing. The various contributions represented
in the volume indicate the growing interest in the topic due to the
increased availability of computational concepts and tools and the
necessity of analyzing complex decision problems. The papers in
this volume are divided into four sections: Computational methods
in econometrics, Computational methods in finance, Computational
methods for a social environment and New computational
methods.GBP/LISTGBP
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.
This volume contains a selection of papers presented at the first
conference of the Society for Computational Economics held at ICC
Institute, Austin, Texas, May 21-24, 1995. Twenty-two papers are
included in this volume, devoted to applications of computational
methods for the empirical analysis of economic and financial
systems; the development of computing methodology, including
software, related to economics and finance; and the overall impact
of developments in computing. The various contributions represented
in the volume indicate the growing interest in the topic due to the
increased availability of computational concepts and tools and the
necessity of analyzing complex decision problems. The papers in
this volume are divided into four sections: Computational methods
in econometrics, Computational methods in finance, Computational
methods for a social environment and New computational
methods.GBP/LISTGBP
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.
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