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Marti, Kurt (contributor) - 2005

Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data,...

Persistent link: https://www.econbiz.de/10014014008

Option Pricing in Fractional Brownian Markets

Rostek, Stefan (contributor) - 2009

The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian...

Persistent link: https://www.econbiz.de/10013521157

Capacity Options for Revenue Management : Theory and Applications in the Air Cargo Industry

Hellermann, Rolf (contributor) - 2006

This book proposes capacity options as a flexible alternative air cargo contract type, and illustrates how capacity can be priced through option contracts. The analysis is accomplished by means of an analytical multivariate optimization model under price and demand uncertainty. A case study...

Persistent link: https://www.econbiz.de/10013520554

Portfolios of Real Options

Brosch, Rainer (contributor) - 2008

Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general. Although the problem is common and vitally important in the value creation process of almost any corporation, it has not...

Persistent link: https://www.econbiz.de/10013520926

Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice

Schulmerich, Marcus - 2010

Real Options in Theory and Practice -- Stochastic Models for the Term Structure of Interest Rates -- Real Options …-factor models) and by using implied forward rates. All necessary theory is provided in the book. The analyses were conducted using a …

Persistent link: https://www.econbiz.de/10013522815

Market-Conform Valuation of Options

Herwig, Tobias - 2006

The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction...

Persistent link: https://www.econbiz.de/10013520525

Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice

Schulmerich, Marcus (contributor) - 2005

shows that the assumption of a constant interest rate in real options valuation is not justifiable. All necessary theory is …

Persistent link: https://www.econbiz.de/10014014074

Scenario Logic and Probabilistic Management of Risk in Business and Engineering

Solojentsev, Evgueni D. - 2009

Structural and Logical Modeling -- Logical And Probabilistic Theory Of Risk With Groups Of Incompatible Events -- Identification … Theory Of Non Success Risk -- Training Course Modeling Estimation and Analysis of Risks in Economics. … principles of the modern risk LP theory (the LP-calculus, the LP-methods and the risk LP-theory with GIE) using uniform …

Persistent link: https://www.econbiz.de/10013522908

New Developments in Multiple Objective and Goal Programming

Jones, Dylan (ed.); Tamiz, Mehrdad (ed.); Ries, Jana (ed.) - 2010

Multi-Objective Stochastic Programming Approaches for Supply Chain Management -- A Review of Goal Programming for Portfolio Selection -- A Hypervolume-Based Optimizer for High-Dimensional Objective Spaces -- Minimizing Vector Risk Measures -- Multicriteria Programming Approach to Development...

Persistent link: https://www.econbiz.de/10014424918

Learning in Economic Systems with Expectations Feedback

Wenzelburger, Jan (contributor) - 2006

Persistent link: https://www.econbiz.de/10013520573

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