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This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.

Operational research. Game theory

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Operations research. --- Planning (firm) --- Operational research. Game theory

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A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the “lent particle method” it is based on perturbation of the position of particles. Poisson random measures describe phenomena involving random jumps (for instance in mathematical finance) or the random distribution of particles (as in statistical physics). Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals. The method gives rise to a new explicit calculus that they illustrate on various examples: it consists in adding a particle and then removing it after computing the gradient. Using this method, one can establish absolute continuity of Poisson functionals such as Lévy areas, solutions of SDEs driven by Poisson measure and, by iteration, obtain regularity of laws. The authors also give applications to error calculus theory. This book will be of interest to researchers and graduate students in the fields of stochastic analysis and finance, and in the domain of statistical physics. Professors preparing courses on these topics will also find it useful. The prerequisite is a knowledge of probability theory.

Operational research. Game theory --- Probability theory --- waarschijnlijkheidstheorie --- stochastische analyse --- kansrekening

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Geophysical Inverse Theory and Applications, Second Edition, brings together fundamental results developed by the Russian mathematical school in regularization theory and combines them with the related research in geophysical inversion carried out in the West. It presents a detailed exposition of the methods of regularized solution of inverse problems based on the ideas of Tikhonov regularization, and shows the different forms of their applications in both linear and nonlinear methods of geophysical inversion. It's the first book of its kind to treat many kinds of inversion and imaging techniques in a unified mathematical manner. The book is divided in five parts covering the foundations of the inversion theory and its applications to the solution of different geophysical inverse problems, including potential field, electromagnetic, and seismic methods. Unique in its focus on providing a link between the methods used in gravity, electromagnetic, and seismic imaging and inversion, it represents an exhaustive treatise on inversion theory. Written by one of the world's foremost experts, this work is widely recognized as the ultimate researcher's reference on geophysical inverse theory and its practical scientific applications.

Numerical methods of optimisation --- Operational research. Game theory

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Paul M. Geffert analyses the interplay of noise and time delay in non-excitable nonlinear systems and the modulation of stochastic effects. In particular, the author studies coherence resonance, which is a constructive effect of noise that occurs in nonlinear systems, and demonstrates that it can be modulated by time-delayed feedback. Analytical methods for the investigation of stochastic delay differential equations are developed. Noise or random perturbations and time delay are two phenomena which arise in many fields of physics, chemistry, or biology, just to mention a few examples. The investigated model is a generic Hopf normal form so that these methods and results can be transferred to many different areas of science. Contents Stochastic Effects in Nonlinear Systems Coherence Resonance Time-Delayed Feedback in Nonlinear Stochastic Systems Coupled Stochastic Systems Target Groups Researchers and students in the field of nonlinear dynamics, stochastic processes and stochastic delay differential equations Practitioners in these areas The Author Paul M. Geffert wrote his master’s thesis under the supervision of Prof. Dr. Eckehard Schöll, PhD in the Collaborative Research Center SFB 910 at the Institute of Theoretical Physics at TU Berlin. In 2015 he will start his PhD studies at Queen Mary University of London.

Operational research. Game theory --- Probability theory --- Mathematical physics --- waarschijnlijkheidstheorie --- theoretische fysica --- stochastische analyse --- wiskunde --- fysica --- kansrekening