Numerical Methods in Finance and Economics: A MATLAB-Based Introduction: Second Edition

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction: Second Edition

Volumn , Issue , 2006, Pages 1-669

  Brandimarte, Paolo ^a  

^a POLITECNICO DI TORINO   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

ALGEBRA; COMPUTATION THEORY; ECONOMICS; FINANCIAL DATA PROCESSING; INVESTMENTS; MATLAB; MONTE CARLO METHODS; NUMERICAL ANALYSIS; OPTIMIZATION; RISK ASSESSMENT; STATISTICAL MECHANICS; UNCERTAINTY ANALYSIS;

ADDITIONAL TREATMENT; FINANCIAL APPLICATIONS; FINANCIAL ENGINEERING; NUMERICAL TECHNIQUES; OPTIMIZATION METHOD; OPTIMIZATION MODELING; OPTIMIZATION MODELS; PORTFOLIO MANAGEMENTS;

NUMERICAL METHODS;

EID: 84947340735     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/0470080493     Document Type: Book

References (230)

1. http://www.thejournalofcomputationaliinance.com
2. http://www.iijod.com
3. http://www.tandf.co.uk
4. http://www.mathworks.com.
5. http://www.ilog.corn
6. http: //www. ampl. Com
7. http: //www . gams . corn
8. http: //www . gams . corn
9. D.J. Duffy. Financial Instrument Pricing Using C++. Wiley, New York, 2004.
10. M. Jackson and M. Staunton. Advanced Modelling in Finance using Excel and VBA. Wiley, New York, 2001.
11. M.S. Joshi. C++ Design Patterns and Derivatives Pricing. Cambridge University Press, Cambridge, 2004.
12. G. Levy. Computational Finance. Numerical Methods for Pricing Financial Instruments. Elsevier Butterworth-Heinemann, Oxford, 2004.
13. R.C. Merton. Continuous-Time Finance. Blackwell Publishers, Malden, MA, 1990.
14. M.J. Miranda and P.L. Fackler. Applied Computational Economics and Finance. MIT Press, Cambridge, MA, 2002.
15. L.A. Wolsey. Integer Programming. Wiley, New York, 1998.
16. http://fisher.osu.edu/fin/journal/jofsites.htm.
17. http: //www . iaf e . org
18. http://www.bachelierfinance.com
19. T. Björk. Arbitrage Theory in Continuous Time (2nd ed.). Oxford University Press, Oxford, 2004.
20. M. Broadie, P. Glasserman, and S.G. Kou. A Continuity Correction for Discrete Barrier Options. Mathematical Finance, 7:325-349, 1997.
21. J. Cvitanić and F. Zapatero. Introduction to the Economics and Mathematics of Financial Markets. MIT Press, Cambridge, MA, 2004.
22. J.-P. Danthine and J.B. Donaldson. Intermediate Financial Theory (2nd ed.). Academic Press, San Diego, CA, 2005.
23. E.J. Elton and M.J. Gruber. Modern Portfolio Theory and Investment Analysis (5th ed.). Wiley, New York, 1995.
24. F. J. Fabozzi. Bond Markets: Analysis and Strategies. Prentice Hall, Upper Saddle River, NJ, 1996.
25. F. J. Fabozzi. Fixed Income Mathematics: Analytical and Statistical Techniques (3rd ed.). McGraw-Hill, New York, 1997.
26. F.J. Fabozzi and G. Fong. Advanced Fixed Income Portfolio Management:The State of the Art. McGraw-Hill, New York, 1994.
27. B.E. Gup and R. Brooks. Interest Rate Risk Management: The Banker's Guide to Using Futures, Options, Swaps, and Other Derivative Instruments. Irwin Professional Publishing, New York, 1993.
28. J.C. Hull. Options, Futures, and Other Derivatives (5th ed.). Prentice Hall, Upper Saddle River, NJ, 2003.
29. J.E. Ingersoll, Jr. Theory of Financial Decision Making. Rowman & Littlefield, Totowa, NJ, 1987.
30. P. Jorion. Value at Risk: The New Benchmark for Controlling Derivatives Risk. McGraw-Hill, New York, 1997.
31. J.G. Kallberg and W.T. Ziemba. Comparison of Alternative Utility Functions in Portfolio Selection Problems. Management Science, . 29: 1257-1276, 1983.
32. Y.K. Kwok. Mathematical Models of Financial Derivatives. Springer-Verlag, Berlin, 1998.
33. D.G. Luenberger. Investment Science. Oxford University Press, New York, 1998.
34. L. Martellini, P. Priaulet, and S. Priaulet. Fixed-Income Securities: VaZuation, Risk Management, and Portfolio Strategies. Wiley, Chichester, 2003.
35. T. Mikosch. Elementary Stochastic Calculus with Finance in View. World Scientific Publishing, Singapore, 1998.
36. S.K. Nawalkha, G.M. Soto, and N.A. Beliaeva. Interest Rate Risk Modeling. Wiley, Hoboken, NJ, 2005.
37. S. Neftci. An Introduction to the Mathematics of Financial Derivatives (2nd ed.). Academic Press, San Diego, CA, 2000.
38. S.R. Pliska. Introduction to Mathematical Finance: Discrete Time Models. Blackwell Publishers, Malden, MA, 1997.
39. R. Rebonato. Interest-Rate Option Models (2nd ed.). Wiley, Chichester, 2000.
40. R. Rebonato. Modern Pricing of Interest-Rate Derivatives: the LIBOR Market Model and Beyond. Princeton University Press, Princeton, NJ, 2002.
41. + Bayes. Springer, New York, 2005.
42. S. Shreve. Stochastic Calculus for Finance (vols. I and II). Springer-Verlag, New York, 2003.
43. S.M. Sundaresan. Fixed Income Markets and Their Derivatives. South Western College Publishing, Cincinnati, OH, 1997.
44. N. Taleb. Dynamic Hedging: Managing Vanilla and Exotic Options. Wiley, New York, 1996.
45. S.R. Veale, editor. Stocks, Bonds, Options, Futures: Investments and their Markets. New York Institute of Finance / Prentice Hall, Paramus, NJ, 1987.
46. P. Wilmott. Quantitative Finance (vols. I and II).Wiley, Chichester, West Sussex, England, 2000.
47. http: //www . netlib. org
48. http: //www .mathworks. com/support/books
49. M. Abramowitz and I.A. Stegun, editors. Handbook of Mathematical Functions. Dover Publications, New York, 1972.
50. K.E. Atkinson. An Introduction to Numerical Analysis (2nd ed.). Wiley, Chichester, West Sussex, England, 1989.
51. L. Barzanti and C. Corradi. A Note on Interest Rate Term Structure Estimation Using Tension Splines. Insurance Mathematics and Economics, 22,139-143, 1998.
52. J.F. Carriere. Nonparametric Confidence Intervals of Instantaneous Forward Rates. Insurance Mathematics and Economics, 26:193-202, 2000.
53. C. de Boor. A Practical Guide to Splines. Springer-Verlag, New York, 1978.
54. L.V. Fausett. Applied Numerical Analysis Using MATLAB. Prentice Hall, Upper Saddle River, NJ, 1999.
55. C.B. Garcia and W.I. Zangwill. Pathways to Solutions, Fixed Points, and Equilibria. Prentice Hall, Englewood Cliffs, NJ, 1981.
56. C. Hastings. Approximations for Digital Computers. Princeton University Press, Princeton, NJ, 1955.
57. J.C. Hull. Options, Futures, and Other Derivatives (5th ed.). Prentice Hall, Upper Saddle River, NJ, 2003.
58. K.L. Judd. Numerical Methods in Economics. MIT Press, Cambridge, MA, 1998.
59. K.L. Judd, F. Kubler, and K. Schmedders. Computing Equilibria in Infinite-Horizon Finance Economies: The Case of One Asset. Journal of Economic Dynamics and Control, 24: 1047-1078,2000.
60. C.T. Kelley. Solving Nonlinear Equations with Newton's Method. SIAM, Philadelphia, PA, 2003.
61. D. Kincaid and W. Cheney. Numerical Analysis: Mathematics of Scientific Computing. Brooks/Cole Publishing Company, Pacific Grove, CA, 1991.
62. J.H. Mathews and K.D. Fink. Numerical Methods Using MATLAB (3rd ed.). Prentice Hall, Upper Saddle River, NJ, 1999.
63. M. J.D. Powell. Approximation Theory and Methods. Cambridge University Press, Cambridge, 1981.
64. W.H. Press, S.A. Teukolsky, W.T. Vetterling, and B.P. Flannery. Numerical Recipes in C (2nd ed.). Cambridge University Press, Cambridge, 1992.
65. H.R. Schwarz. Numerical Analysis: A Comprehensive Introduction. Wiley, Chichester, West Sussex, England, 1989.
66. J. Stoer and R. Burlisch. Introduction to Numerical Analysis. Springer-Verlag, New York, 1980.
67. G.A. Watson. Approximation Theory and Numerical Methods. Wiley, Chichester, West Sussex, England, 1980.
68. P. Wilmott. Quantitative Finance (vols. I and II). Wiley, Chichester, West Sussex, England, 2000.
69. http: //www .mcqmc . org.
70. http://www.mat.sbg.ac.at/~schmidw/links.html.
71. I.A. Antonov and V.M. Saleev. An Economic Method of Computing LPT Sequences. USSR Computational Mathematics and Mathematical Physics, 19:252-256, 1979.
72. I. Beichl and F. Sullivan. The Importance of Importance Sampling. Computing in Science and Engineering, 1 :71-73, March-April 1999.
73. P. Bratley and B.L. Fox. Algorithm 659: Implementing Sobol's Quasirandom Sequence Generator. A CM Transactions on Mathematical Software, 14:88-100, 1988.
74. G.S. Fishman. Monte Carlo: Concepts, Algorithms, and Applications. Springer-Verlag, Berlin, 1996.
75. P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer-Verlag, New York, NY, 2004.
76. J.C. Hull. Options, Futures, and Other Derivatives (5th ed.). Prentice Hall, Upper Saddle River, NJ, 2003.
77. P. Jaeckel. Monte Carlo Methods in Finance. Wiley, Chichester, 2002.
78. C. Joy, P.P. Boyle, and K.S. Tan. Quasi-Monte Carlo Methods in Numerical Finance. Management Science, 42:926-938, 1996.
79. A.M. Law and W.D. Kelton. Simulation Modeling and Analysis (3rd ed.). McGraw-Hill, New York, 1999.
80. M.J. Miranda and P.L. Fackler. Applied Computational Economics and Finance. MIT Press, Cambridge, MA, 2002.
81. C. Moler. Random Thoughts. Matlab News 6 Notes, pages 2-3, Fall 1995. This paper may be downloaded from The Mathworks' Web site at http://www.mathworks.com/company/newsletter/pdf/Cleve.pdf.
82. H. Niederreiter. Random Number Generation and Quasi-Monte Carlo Methods. Society for Industrial and Applied Mathematics, Philadelphia, PA. 1992.
83. W.H. Press, S.A. Teukolsky, W.T. Vetterling, and B.P. Flannery. Numerical Recipes in C (2nd ed.). Cambridge University Press, Cambridge, 1992.
84. B.D. Ripley. Stochastic Simulation. Wiley, New York, 1987.
85. S. Ross. Simulation. Academic Press, San Diego, CA, 1997.
86. S. Ross. Introduction to Probability Models (8th ed.). Academic Press, San Diego, CA, 2002.
87. R.Y. Rubinstein. Simulation and the Monte Carlo Method. Wiley, Chi-Chester, 1981.
88. I.M. Sobol. On the Distribution of Points in a Cube and the Approx-USSR Computational imate Evaluation of Integrals. Mathematics and Mathematical Physics, 7:86-112, 1967.
89. J. Cooper. Introduction to Partial Differential Equations with MATLAB. Birkhäuser, Berlin, 1998.
90. D.G. Luenberger. Investment Science. Oxford University Press, New York. 1998.
91. R. McOwen. Partial Differential Equations: Methods and Applications. Prentice Hall, Upper Saddle River, NJ, 1996.
92. K.W. Morton and D.F. Mayers. Numerical Solution of Partial Differential Equations (2nd ed.). Cambridge University Press, Cambridge, 2005.
93. R.D. Richtmyer and K.W. Morton. Difference Methods for Initial Value Problems (2nd ed.). Wiley, New York, 1967. Reprinted in 1994 by Krieger, New York.
94. G.D. Smith. Numerical Solution of Partial Differential Equations: Finite Diflerence Methods (3rd ed.). Oxford University Press, Oxford, 1985.
95. J.C. Strickwerda. Finite Difference Schemes and Partial Difference Equations. SIAM, Philadelphia, PA, 2004.
96. J.W. Thomas. Numerical Partial Differential Equations: Finite Difference Methods. Springer-Verlag, New York, 1995.
97. P. Wilmott. Derivatives: The Theory and Practice of Financial Engineering. Wiley, Chichester, West Sussex, England, 1999.
98. P. Wilmott. Quantitative Finance (vols. I and II). Wiley, Chichester, West Sussex, England, 2000.
99. http://e-optimization.com.
100. http: //www . inf orms . org
101. http: //www . siam. org
102. http: //www. cam. r i c e . edu/~mathprog
103. http://www-unix.mcs.anl.gov/otc/InteriorPoint
104. http: //mat. gsia. cmu. edu.
105. M. Bartholomew-Biggs. Nonlinear Optimization woith Financial Applications. Kluwer Academic Publishers, New York, 2005.
106. R.R. Barton and J.S. Ivey, Jr. Nelder-Mead Simplex Modifications for Simulation Optimization. Management Science, 42:954-973, 1996.
107. M.S. Bazaraa, H.D. Sherali, and C.M. Shetty. Nonlinear Programming. Theory and Algorithms (2nd ed.). Wiley, Chichester, West Sussex, England, 1993.
108. M. Broadie and P. Glasserman. Estimating Security Price Derivatives Using Simulation. Management Science, 42:269-285, 1996.
109. A. Consiglio and S.A. Zenios. Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models. Operations Research, 47:195-208, 1999.
110. R. Fletcher. Practical Methods of Optimization (2nd ed.). Wiley, Chi-Chester, West Sussex, England, 1987.
111. M.C. Fu. Optimization by Simulation: A Review. Annals of Operations Research, 53:199-247, 1994.
112. P. Glasserman. Gradient Estimation via Perturbation Analysis. Kluwer Academic, Boston, MA, 1991.
113. P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer-Verlag, New York, NY, 2004.
114. J.-B. Hiriart-Urruty and Claude Lemarkhal. Convex Analysis and Minimization Algorithms (vols. 1 and 2). Springer-Verlag, Berlin, 1993.
115. D.G. Humphrey and J.R. Wilson. A Revised Simplex Search Procedure for Stochastic Simulation Response Surface Optimization. INFORMS Journal on Computing, 12:272-283,2000.
116. R. Korn. Optimal Portfolios: Stochastic Models for Optimal Investment and Risk Management in Continuous Time. World Scientific Publishing, Singapore, 1997.
117. R.C. Merton. Continuous-Time Finance. Blackwell Publishers, Malden, MA, 1990.
118. J. Paroush and E.Z. Prisman. On the Relative Importance of Duration Constraints. Management Science, 43: 198-205, 1997.
119. G.C. Pflug. Optimization of Stochastic Models: The Interface Between Simulation and Optimization. Kluwer Academic, Dordrecht, The Netherlands, 1996.
120. R.T. Rockafellar. Convex Analysis. Princeton University Press, Princeton, NJ, 1970.
121. + Bayes. Springer, New York, 2005.
122. R.K. Sundaram. A First Course in Optimization Theory. Cambdridge University Press, Cambridge, 1996.
123. R. J. Vanderbei. Linear Programming: Foundations and Extensions. Kluwer Academic, Dordrecht, The Netherlands, 1996.
124. S. J. Wright. Primal-Dual Interior-Point Methods. Society for Industrial and Applied Mathematics, Philadelphia, 1997.
125. L. Clewlow and C. Strickland. Implementing Derivatives Models. Wiley, Chichester, West Sussex, England, 1998.
126. D.J. Higham. Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB. SIAM Review, 44:661-677, 2002.
127. J.C. Hull. Options, Futures, and Other Derivatives (5th ed.). Prentice Hall, Upper Saddle River, NJ, 2003.
128. G. Levy. Computational Finance. Numerical Methods for Pricing Financial Instruments. Elsevier Butterworth-Heinemann, Oxford, 2004.
129. D.G. Luenberger. Investment Science. Oxford University Press, New York, 1998.
130. http://www.mcqmc.org.
131. http://www.cs.columbia.edu/~traub
132. http://www.cs.columbia.edu/~ap/html/info~ation.html
133. F. Åkesson and J.P. Lehoczky. Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities. Management Science, 46: 1171-1187, 2000.
134. T. Björk. Arbitrage Theory in Continuous Time (2nd ed.). Oxford University Press, Oxford, 2004.
135. P. Boyle. Options: A Monte Carlo Approach. Journal of Financial Economics, 4:323-338, 1977.
136. P. Boyle, M. Broadie, and P. Glasserman. Monte Carlo Methods for Security Pricing. Journal of Economics Dynamics and Control, 21: 1267-1321. 1997.
137. P.P. Carr and R.A. Jarrow. The Stop-Loss Start-Gain Paradox and Option Valuation: a New Decomposition into Intrinsic and Time Value. The Review of Financial Studies, 3:469-492, 1990.
138. L. Clewlow and C. Strickland. Implementing Derivatives Models. Wiley, Chichester, West Sussex, England, 1998.
139. B. Dupire, editor. Monte Carlo. Methodologies and Applications for Pricing and Risk Management. Risk Books, London, 1998.
140. P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer-Verlag, New York, NY, 2004.
141. P. Glasserman, P. Heidelberger, and P. Shahabuddin. Variance Reduction Techniques for Estimating Value-at-Risk. Management Science, 46:1349-1364, 2000.
142. D.J. Higham. An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations. SIAM Review, 43:525-546, 2001.
143. J.C. Hull. Options, Futures, and Other Derivatives (5th ed.). Prentice Hall, Upper Saddle River, NJ, 2003.
144. P. Jaeckel. Monte Carlo Methods in Finance. Wiley, Chichester, 2002.
145. C. Joy, P.P. Boyle, and K.S. Tan. Quasi-Monte Carlo Methods in Numerical Finance. Management Science, 42:926-938, 1996.
146. P.E. Kloeden and E. Platen. Numerical Solution of Stochastic Differential Equations. Springer-Verlag, Berlin, 1992.
147. S.H. Paskov. New Methodologies for Valuing Derivatives. In S.R. Pliska and M.A.H. Dempster, editors, Mathematics of Derivative Securities, pages 545-582. Cambridge University Press, Cambridge, 1997.
148. S.H. Paskov and J.F. Traub. Faster Valuation of Financial Derivatives. Journal of Portfolio Management, 22:113-120, Fall 1995.
149. S. Ross. An Introduction to Mathematical Finance: Options and Other Topics. Cambridge University Press, Cambridge, 1999.
150. S.M. Ross and J.G. Shanthikumar. Monotonicity in Volatility and Efficient Simulation. Probability in the Engineering and Informational Sciences, 14:317-326, 2000.
151. K.S. Tan and P.P. Boyle. Applications of Randomized Low Discrepancy Sequences to the Valuation of Complex Securities. Journal of Economic Dynamics and Control, 24:1747-1782, 2000.
152. J.C. Hull. Options, Futures, and Other Derivatives (5th ed.). Prentice Hall, Upper Saddle River, NJ, 2003.
153. Y.K. Kwok. Mathematical Models of Financial Derivatives. Springer-Verlag, Berlin, 1998.
154. R. Seydel. Tools for Computational Finance. Springer-Verlag, Berlin, 2002.
155. D. Tavella and C. Randall. Pricing Financial Instruments: The Finite Diflerence Method. Wiley, New York, 2000.
156. J. Topper. Financial Engineering with Finite Elements. Wiley, New York, 2005.
157. P. Wilmott. Derivatives: The Theory and Practice of Financial Engineering. Wiley, Chichester, West Sussex, England, 1999.
158. P. Wilmott. Quantitative Finance (vols. I and II). Wiley, Chichester, West Sussex, England, 2000.
159. Y.-I. Zhu, X. Wu, and I.-L. Chern. Derivative Securities and Difference Methods. Springer, New York, 2004.
160. R. Zvan, K.R. Vetzal, and P.A. Forsyth. PDE Methods for Pricing Barrier Options. Journal of Economic Dynamics and Control, 24: 1563-1590, 2000.
161. http://www4.ncsu.edu/Npfackler/compecon/
162. http://www.econ.jhu.edu/people/ccarroll/index.html
163. D.P. Bertsekas. Dynamic Programming and Optimal Control (2nd ed., Vols. 1 and 2). Athena Scientific, Belmont, MA, 2001.
164. D.P. Bertsekas and J.N. Tsitsiklis. Neuro-Dynamic Programming. Athena Scientific, Belmont, MA, 1996.
165. P. Brandimarte and A. Villa. Advanced Models for Manufacturing Systems Management. CRC Press, Boca Raton, FL, 1995.
166. J.Y. Campbell and L.M. Viceira. Strategic Asset Allocation. Oxford University Press, Oxford, 2002.
167. C. Carroll. Solving Microeconomic Dynamic Stochastic Optimization Problems. Lecture Notes downloadable from http://www.econ.jhu.edu/people/ccarroll/index.html.
168. P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer-Verlag, New York, NY, 2004.
169. P. Jaeckel. Monte Carlo Methods in Finance. Wiley, Chichester, 2002.
170. J.E. Ingersoll, Jr. Theory of Financial Decision Making. Rowman & Littlefield, Totowa, NJ, 1987.
171. K.L. Judd. Numerical Methods in Economics. MIT Press, Cambridge, MA, 1998.
172. F.A. Longstaff and E.S. Schwartz. Valuing American Options by Simulation:a Simple Least-Squares Approach. The Review of Financial Studies, 14:113-147, 2001.
173. R.C. Merton. Continuous-Time Finance. Blackwell Publishers, Malden, MA, 1990.
174. M. J. Miranda and P.L. Fackler. Applied Computational Economics and Finance. MIT Press, Cambridge, MA, 2002.
175. D. Tavella. Quantitative Methods in Derivatives Pricing: Introduction to Computational Finance. Wiley, New York, 2002.
176. H.C. Tijms. A First Course in Stochastic Models. Wiley, Chichester, 2003.
177. J.N. Tsitsiklis and B. Van Roy. Optimal Stopping of Markov Processes:Hilbert Space Theory, Approximation Algorithms, and an Application to Pricing High-Dimensional Financial Derivatives. IEEE Transactions on Automatic Control, 44:1840-1851, 1999.
178. L.A. Woisey. Integer Programming. Wiiey, New York, 1998.
179. http: //www. amp1 . com.
180. http://stoprog.org.
181. http: //mat. gsia. cmu. edu.
182. J.R. Birge. Stochastic Programming Computation and Applications. INFORMS Journal of Computing, 9:111-133, 1997.
183. J.R. Birge and F. Louveaux. Introduction to Stochastic Programming. Springer-Verlag, New York, 1997.
184. J.Y. Campbell and L.M. Viceira. Strategic Asset Allocation. Oxford University Press, Oxford, 2002.
185. G.B. Dantzig. Linear Programming under Uncertainty. Management Science, 1:197-206, 1955.
186. M.A.H. Dempster and R.T. Thompson. EVPI-Based Importance Sampling Solution Procedures for Multistage Stochastic Linear Programmes on Parallel MIMD Architectures. Annals of Operations Research, 90: 161-184, 1999.
187. C. Dert. Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach. Ph.D. thesis, Erasmus Unversity, Rotterdam, The Netherlands, 1995.
188. J. Dupačová. Stability and Sensitivity Analysis for Stochastic Programming. Annals of Operations Research, 27, 1990.
189. R. Fourer, D.M. Gay, and B.W. Kernighan. AMPL: A Modeling Language for Mathematical Programming. Boyd and Fraser, Danvers, MA, 1993.
190. H. Heitsch and W. Roemisch. Scenario Reduction Algorithms in Stochastic Programming. Computational Optimization and Applications, 24: 187-206, 2003.
191. J.L. Higle and S. Sen. Stochastic Decomposition. Kluwer Academic Publishers, Dordrecht, 1996.
192. R. Hochreiter and G.Ch. Pflug. Scenario Tree Generation as a Multidimensional Facility Location Problem. Aurora Technical Report, University of Wien, 2002 (paper downloadable from http://www.vcpc.univie.ac.at/aurora/publications/).
193. K. Hoyland and S.W. Wallace. Generating Scenario Trees for Multistage Decision Problems. Management Science, 47:296-307, 2001.
194. G. Infanger. Planning under Uncertainty: Solving Large-Scale Stochastic Linear Programs. Boyd and Fraser, Danvers, MA, 1994.
195. J.E. Ingersoll, Jr. Theory of Financial Decision Making. Rowman & Littlefield, Totowa, NJ, 1987.
196. P. Kall and S.W. Wallace. Stochastic Programming. Wiley, Chichester, 1994.
197. M. Koivu. Variance reduction in sample approximations of stochastic programs. Mathematical Programming, 103:463-485, 2005.
198. S.R. Pliska. Introduction to Mathematical Finance: Discrete Time Models. Blackwell Publishers, Malden, MA, 1997.
199. A. Prékopa. Probabilistic Programming. In A. Ruszczyńiski and A. Shapiro, editors, Stochastic Programming. Elsevier, Amsterdam, 2003.
200. S.T. Rachev. Probability Metrics and the Stability of Stochastic Models. Wiley, Chichester, 1991.
201. W. Roemisch. Stability of Stochastic Programming Problems. In A. Ruszczyriski and A. Shapiro, editors, Stochastic Programming. Elsevier, Amsterdam, 2003.
202. A. Ruszczyński and A. Shapiro. Stochastic Programming Models. In A. Ruszczydski and A. Shapiro, editors, Stochastic Programming. Elsevier, Amsterdam, 2003.
203. + Bayes. Springer, New York, 2005.
204. S. Sen and J.L. Higle. An Introductory Tutorial on Stochastic Programming Models. Interfaces, 29:33-61, 1999.
205. R. Van Slyke and R.J-B. Wets. L-Shaped Linear Programs with Application to Optimal Control and Stochastic Programming. SIAM Journal on Applied Mathematics, 17:638-663, 1969.
206. S. Zenios, editor. A Library of Financial Optimization Models. Blackwell Publishers, Oxford, 2006.
207. S. Zenios. Practical Financial Optimization. Blackwell Publishers, Oxford, 2006.
208. http: //www . ampl. com.
209. http: //www . ilog . corn.
210. http: //www. optquest. corn.
211. http: //www .mathworks. corn
212. R. Battiti and G. Tecchiolli. The Continuous Reactive Tabu Search:Blending Combinatorial Optimization and Stochastic Search for Global Optimization. Annals of Operations Research, 63:153-188, 1996.
213. D. Bertsimas, C. Darnell, and R. Stoucy. Portfolio Construction through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company. Interfaces, 29:49-66, 1999.
214. D. Bienstock. Computational Study of a Family of Mixed-Integer Quadratic Programming Problems. Mathematical Programming, 74:121-140, 1996.
215. T.-J. Chang, N. Meade, J.E. Beasley, and Y.M. Sharaiha. Heuristics for Cardinality Constrained Portfolio Optimization. Computers and Operations Research, 27:1271-1302, 2000.
216. R. Fourer, D.M. Gay, and B.W. Kernighan. AMPL: A Modeling Language for Mathematical Programming. Boyd and Fraser, Danvers, MA, 1993.
217. F. Glover, J.M. Mulvey, and K. Hoyland. Solving Dynamic Stochastic Control Problems in Finance Using Tabu Search with Variable Scaling. In I.H. Osman and J.P. Kelly, editors, Meta-Heuristics: Theory and Applications, pages 429-448. Kluwer Academic, Dordrecht, The Netherlands, 1996.
218. F.W. Glover and M. Laguna. Tabu Search. Kluwer Academic, Dordrecht, The Netherlands, 1998.
219. R. Horst, P.M. Pardalos, and N.V. Thoai. Introduction to Global Optimization. Kluwer Academic, Dordrecht, The Netherlands, 1995.
220. H. Konno and H. Yamazaki. Mean-Absolute Deviation Portfolio Optimization Model and Its Application to Tokyo Stock Market. Management Science, 37:519-531, 1991.
221. M.S. Lobo, M. Fazel, and S. Boyd. Portfolio Optimization with Linear and Fixed Transaction Costs and Bounds on Risk. Unpublished manuscript (available at h t t p: //www. stanford. edu/-boyd), 1999.
222. R. Mansini and M.G. Speranza. Heuristic Algorithms for the Portfolio Selection Problem with Minimum Transaction Lots. European Journal of Operational Research, 114:219-233, 1999.
223. C.D. Maranas, I.P. Androulakis, C.A. Floudas, A.J. Berger, and J.M. Mulvey. Solving Long-Term Financial Planning Problems via Global Optimization. Journal of Economic Dynamics and Control, 21:1405-1425, 1997.
224. C.D. Maranas and C.A. Floudas. Global Minimum Potential Energy Conformations of Small Molecules. Journal of Global Optimization, 4: 135-170, 1994.
225. Z. Michalewicz. Evolutionary Computation Techniques for Nonlinear Programming Problems. International Transactions of Operations Research, 1:223-140, 1994.
226. Z. Michalewicz. Genetic Algorithms + Data Structures = Evolution Programs. Springer-Verlag, Berlin, 1996.
227. G.L. Nemhauser and L.A. Wolsey. Integer Programming and Combinatorial Optimization. Wiley, Chichester, West Sussex, England, 1998.
228. J.K. Sankaran and A.A. Patil. On the Optimal Selection of Portfolios under Limited Diversification. Journal of Banking and Finance, 23: 1655-1666, 1999.
229. + Bayes. Springer, New York, 2005.
230. L.A. Wolsey. Integer Programming. Wiley, New York, 1998.