Practical Financial Optimization: Decision Making for Financial Engineers

Text Credits

The author and publisher gratefully acknowledge the permissions granted to reproduce the copyright material in this book. Every effort has been made to trace copyright holders and to obtain their permission for the use of copyright material. The publisher apologizes for any errors or omissions in the above list and would be grateful if notified of any corrections that should be incorporated in future reprints or editions of this book.

Figures 1.2, 1.7 and 1.8 reprinted from D. Rosen and S. A. Zenios (2006), Enterprise-wide asset and liability management, in S. A. Zenios and W. T. Ziemba, editors, Handbook on Asset and Liability Management, Volume 1, Theory and Methodology, pp. 1–23, copyright North-Holland, Amsterdam, with permission of Elsevier.

Figure 2.12 reprinted from P. Jorion (1996), Value at Risk: The New Benchmark for Controlling Market Risk, copyright Irwin Professional Publishing, New York, with permission of McGraw-Hill Companies.

Figures 7.7 to 7.10 and 11.11 to 11.15 reprinted from N. J. Jobst and S. A. Zenios (2003), Tracking corporate bond indices in an integrated market and credit risk environment, Quantitative Finance 3:117–135, with permission of Taylor and Francis, www.tandf.co.uk.

Figures 7.2 to 7.6 reprinted from A. Consiglio and S. A. Zenios (2001), Integrated simulation and optimization models for tracking international fixed income indices, Mathematical Programming, Series B, 89:311–339, with permission of Springer Science and Business Media. ...