TY  - BOOK
AU  - Dupacova,Jitka
AU  - Hurt,J.
AU  - Stepan,J.
ED  - SpringerLink (Online service)
TI  - Stochastic Modeling in Economics and Finance
T2  - Applied Optimization,
SN  - 9780306481673
AV  - QA402.5-402.6 
U1  - 519.6 
PY  - 2002///
CY  - New York, NY
PB  - Springer US, Imprint: Springer
KW  - Mathematical optimization
KW  - Probabilities
KW  - Finance
KW  - Operations research
KW  - Decision making
KW  - Accounting
KW  - Bookkeeping 
KW  - Optimization
KW  - Probability Theory and Stochastic Processes
KW  - Finance, general
KW  - Operations Research/Decision Theory
KW  - Accounting/Auditing
N1  - Fundamentals -- Discrete Time Stochastic Decision Models -- Stochastic Analysis and Diffusion Finance
N2  - In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study
UR  - https://s443-doi-org.br.lsproxy.net/10.1007/b101992
ER  -