Stochastic programming models in financial optimization: a survey

MaRDI QIDQ3415797zbMATH OpenFDO

Authors Liyong Yu, Xiaodong Ji

Publication date 19 January 2007

Full work available at URL http://www.ici.ro/camo/journal/v5n1.htm

zbMATH Keywords

Financial OptimizationRisk ManagementScenario GenerationStochastic Programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

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• Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th international symposium on stochastic programming (SPXI), Vienna, Austria, August 27--31, 2007
• Term structure models in multistage stochastic programming: Estimation and approximation
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• Optimisation of stochastic programming by hidden Markov modelling based scenario generation

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