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- DescriptionIn Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple eugh 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.
- Author(s)Jan Hurt,Jitka Dupacova,Josef Stepan
- PublisherSpringer-Verlag New York Inc.
- Date of Publication06/12/2010
- Series TitleApplied Optimization
- Series Part/Volume Number75
- Place of PublicationNew York, NY
- Country of PublicationUnited States
- ImprintSpringer-Verlag New York Inc.
- Content Notebiography
- Weight617 g
- Width156 mm
- Height234 mm
- Spine20 mm
- Format DetailsTrade paperback (US)
- Edition Statement1st ed. Softcover of orig. ed. 2002
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