Bøger af John R. Birge

The goals of financial engineering research are to develop realistic stochastic models describing dynamics of financial risk variables. This title describes developments in this field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, risk management, and portfolio optimization.

In an extensively updated new edition, this book teaches stochastic programming, with new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods and more.