图书简介

Pricing Nondiversifiable Credit Risk in the Corporate Eurobond Market (J Abaffy, M Bertocchi, J Dupačová, V Moriggia, and G Consigli); Numerical Experiments with ABS Algorithms for Linear Systems on a Parallel Machine (M Bertocchi); A Parallel Algorithm for Global Optimization (M Bertocchi); Sensitivity of Bond Portfolio’s Behavior with Respect to Random Movements in Yield Curve: A Simulation Study (Marida Bertocchi, Vittorio Moriggia, and Jitka Dupačová); Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market (Marida Bertocchi, Rosella Giacometti, and Stavros A Zenios); Horizon and Stages in Applications of Stochastic Programming in Finance (Marida BertocchiVittorio Moriggia, Jitka Dupačová); From Data to Model and Back to Data: A Bond Portfolio Management Problem (Jitka Dupačováand Marida Bertocchi); A Stochastic Model for Mortality Rate on Italian Data (R GiacomettiS OrtobelliM Bertocchi); Stable Distributions in the Black-Litterman Approach to Asset Allocation (Rosella Giacometti, Marida Bertocchi, Svetlozar T Rachev & Frank J Fabozzi ); A Comparison of the Lee-Carter Model and AR-ARCH Model for Forecasting Mortality Rates (Rosella Giacometti, Marida Bertocchi, Svetlozar T Rachev, and Frank J Fabozzi); Optimal Kinematics of a Looped Filament (Francesca Maggioni, Florian A Potra, Marida Bertocchi); Bounds in Multistage Linear Stochastic Programming (Francesca Maggioni, Elisabetta Allevi, Marida Bertocchi); A Scenario-Based Framework for Supply Planning under Uncertainty: Stochastic Programming versus Robust Optimization Approaches (Francesca Maggioni, Florian A Potra, Marida Bertocchi); A Time Consistent Risk Averse Three-Stage Stochastic Mixed Integer Optimization Model for Power Generation Capacity Expansion (P Pisciella, MT Vespucci, M Bertocchi, and S Zigrino); A Stochastic Model for the Daily Coordination of Pumped Storage Hydro Plants and Wind Power Plants (Maria Teresa Vespucci, Francesca Maggioni, Maria Ida Bertocchi, Mario Innorta)

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