Title	Probabilistic Constrained Optimization [electronic resource] : Methodology and Applications / edited by Stanislav P. Uryasev
Imprint	Boston, MA : Springer US : Imprint: Springer, 2000
Connect to	http://dx.doi.org/10.1007/978-1-4757-3150-7
Descript	XII, 308 p. online resource

Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas

to the Theory of Probabilistic Functions and Percentiles -- Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights -- On Optimization of Unreliable Material Flow Systems -- Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts -- Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis -- Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems -- On Maximum Reliability Problem in Parallel-Series Systems with Two Failure Modes -- Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses -- Structure of Optimal Stopping Strategies for American Type Options -- Approximation of Value-at-Risk Problems with Decision Rules -- Managing Risk with Expected Shortfall -- On the Numerical Solution of Jointly Chance Constrained Problems -- Management of Quality of Service through Chance-constraints in Multimedia Networks -- Solution of a Product Substitution Problem Using Stochastic Programming -- Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk -- Statistical Inference of Stochastic Optimization Problems

1. Mathematics
2. Operations research
3. Decision making
4. Finance
5. Numerical analysis
6. Mathematical models
7. Calculus of variations
8. Industrial engineering
9. Production engineering
10. Mathematics
11. Calculus of Variations and Optimal Control; Optimization
12. Industrial and Production Engineering
13. Finance
14. general
15. Operation Research/Decision Theory
16. Mathematical Modeling and Industrial Mathematics
17. Numeric Computing