UID:
almafu_9960119963402883
Format:
1 online resource (xvii, 350 pages) :
,
digital, PDF file(s).
ISBN:
0-511-52213-4
Content:
The use of formal mathematical models and optimization in finance has become common practice in the 1980s and 1990s. This book clearly presents the exciting symbiosis between the fields of finance and management science/operations research. Prominent researchers present the state of the art in financial optimization, while analysts from industry discuss the latest business techniques practised by financial firms in New York, London and Tokyo. The book covers a wide range of topics: portfolio management of equities and fixed income investments, the pricing of complex insurance, mortgage and other asset-backed products, and models for risk-management and diversification.
Note:
Title from publisher's bibliographic system (viewed on 05 Oct 2015).
,
Some financial optimization models : I. risk management ; Some financial optimization models : II. financial engineering / H. Dahl, A. Meeraus, and S.A. Zenios -- New "financial market equilibrium" results : implications for practical financial optimization / H.M. Markowitz -- Empirical tests of biases in equity portfolio optimization / P. Muller -- An economic approach to valuation of single premium deferred annuities / M.R. Asay, P.J. Bouyoucos, and A.M. Marciano. Commentary / D.F. Babbel -- The optimal portfolio system : targeting horizon total returns under varying interest-rate scenarios / E. Adamidou [and others] -- Optimization tools for the financial manager's desk / M. Avriel -- A flexible approach to interest-rate risk management / H. Dahl -- Currency hedging strategies for US investment in Japan and Japanese investment in the US / W.T. Ziemba. Commentary / Y. Beppu.
,
Incorporating transaction costs in models for asset allocation / J.M. Mulvey -- Bond portfolio analysis using integer programming / R.M. Nauss -- Scenario immunization / R.S. Dembo -- Mortgages and Markov chains : a simplified evaluation model / P. Zipkin -- Parallel Monte Carlo simulation of mortgage-backed securities / S.A. Zenios.
,
English
Additional Edition:
ISBN 0-521-57777-2
Additional Edition:
ISBN 0-521-41905-0
Language:
English
URL:
Volltext
(lizenzpflichtig)
URL:
https://doi.org/10.1017/CBO9780511522130
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