Practical financial optimization : decision making for financial engineers / Stavros A. Zenios
Imprint
Malden, MA ; Oxford : Blackwell Pub., 2007
Descript
xxx, 400 p. : ill. ; 26 cm
CONTENT
An optimization view of financial engineering -- Basics of risk management -- Mean-variance analysis -- Portfolio models for fixed income -- Scenario optimization -- Dynamic portfolio optimization with stochastic programming -- Index funds -- Designing financial products -- Scenario generation -- International asset allocation -- Corporate bond portfolios -- Insurance policies with guarantees -- Personal financial planning -- A library of financial optimization models -- Basics of optimization -- Basics of probability theory -- Stochastic processes