Financial Optimization

The use of formal mathematical models and optimization in finance has become common practice in the 1980s and 1990s. This book clearly presents the exciting symbiosis between the fields of finance and management science/operations research. Prominent researchers present the state of the art in financial optimization, while analysts from industry discuss the latest business techniques practised by financial firms in New York, London and Tokyo. The book covers a wide range of topics: portfolio management of equities and fixed income investments, the pricing of complex insurance, mortgage and other asset-backed products, and models for risk-management and diversification.

Preface Patrick T. Harker
Introduction Stavros A. Zenios
Part I. General Overview: 1. Some financial optimization models: I Risk management H. Dahl, A. Meeraus, and S. Zenios
2. Some financial optimization models: II Financial engineering H. Dahl, A. Meeraus and S. Zenios
3. Empirical tests of optimization P. Muller
4. Recent results in mean-variance analysis H. Markowitz
Part II. Applications: 5. An economic approach to the valuation of single premium deferred annuities M. Asay, P. J. Bouyoucos and A. M. Marciano
6. Optimal horizon portfolio return under varying interest rate scenarios E. Adamidou, Y. Ben-Dov, L. Prendergast and V. Pica
7. Optimization tools for the financial manager's desk M. Avriel
8. A flexible approach to interest rate risk management H. Dahl
9. Currency hedging strategies for US investments in Japan, and Japanese investments in the US W. Ziemba
Part III. Methodologies: 10. Incorporating transaction costs in models for asset allocations J. Mulvey
11. Bond portfolio analysis using integer programming R. Nauss
12. Scenario immunization R. Dembo
13. Mortgages and Markov chains: a simplified evaluation model P. Zipkin
14. Parallel Monte Carlo simulation of mortgage backed securities S. Zenios.

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Financial Optimization

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Supplemental Materials