is professor of Mathematical Finance at the University of Palermo, Italy. He has held positions at the University of Calabria and at the University of Cyprus. He has participated in consultancy projects with the Banca della Svizzera Italiana, Switzerland and Prometeia, Italy. He has co-authored one book and numerous articles for various leading academic journals. In 2006 he was awarded the EURO Excellence in Practice Award, jointly with Stavros A. Zenios and Flavio Cocco. His research interests encompass many areas in the field of financial modeling and computational finance. He holds a PhD in applied mathematics to finance and economics.
SØREN NIELSEN (1959-2003) was an Associate Professor in the Department of Informatics and Mathematical Modeling at the Technical University of Denmark. He worked at the World Bank and the University of Texas at Austin. He held degrees in computer science and a PhD in decision sciences from the Wharton School of the University of Pennsylvania.
STAVROS A. ZENIOS is Professor of Finance and Management Science at the University of Cyprus, Director of the HERMES European Centre of Excellence on Computational Finance and Economics, and Senior Fellow at the Wharton Financial Institutions Centre of the University of Pennsylvania. He has co-authored more than 130 articles in some of the premier journals in the filed, serves on the editorial board of six journals, and received numerous awards for his research and publications. His previous books include Practical Financial Optimization: Decision Making for Financial Engineers (Blackwell Publishing, 2007); Performance of Financial Institutions: Efficiency, Innovation, Regulation (Cambridge University Press, 2000); Parallel Optimization: Theory, Algorithms, and Applications (Oxford University Press, 1997); and Financial Optimization (Cambridge University Press, 1996).
List of Models.
1 An Introduction to the GAMS Modeling System.
1.2 Basics of Modeling.
1.3 The GAMS Language.
1.4 Getting Started.
Notes and References.
2 Data Management.
2.2 Basics of Data Handling.
2.3 Data Generation.
2.4 A Complete Example: Portfolio Dedication.
3 Mean-Variance Portfolio Optimization.
3.2 Basics of Mean-Variance Models.
3.3 Sharpe Ratio Model.
3.4 Diversification Limits and Transaction Costs.
3.5 International Portfolio Management.
4 Portfolio Models for Fixed Income.
4.2 Basics of Fixed-Income Modeling.
4.3 Dedication Models.
4.4 Immunization Models.
4.5 Factor Immunization Model.
4.6 Factor Immunization for Corporate Bonds.
5 Scenario Optimization.
5.2 Data sets.
5.3 Mean Absolute Deviation Models.
5.4 Regret Models.
5.5 Conditional Value-at-Risk Models.
5.6 Utility Maximization Models.
5.7 Put/Call Efficient Frontier Models.
6 Dynamic Portfolio Optimization with Stochastic Programming.
6.2 Dynamic Optimization for Fixed-Income Securities.
6.3 Formulating Two-Stage Stochastic Programs.
6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program.
7 Index Funds.
7.2 Models for Index Funds.
8 Case Studies in Financial Optimization.
8.2 Application I: International Asset Allocation.
8.3 Application II: Corporate Bond Portfolio Management.
8.4 Application III: Insurance Policies with Guarantees.
8.5 Application IV: Personal Financial Planning.