Algorithms for Worst-Case Design and Applications to Risk Management

By Berç Rustem; Melendres Howe | Go to book overview

Index
abrupt change variants 196–8, 201–3, 222–3
accuracy 112–18
actual hedging errors 192–5, 212–13
aggressiveness 371
ALB see Asset/Liability Management
American bond options 229–33
American call options 182
ancestor states 279, 331
approximate Jacobians 55–8
Armijo stepsize strategy 50–8, 82–3
asset allocation 247–90
benchmarking 247–52, 261–71
downside risk 271–3
dual benchmark tracking 261–71
forecasting 273–7
multistage minimax bond portfolios 277–84
rival return forecasts 249–52
threshold returns 271–3
Asset/Liability Management (ALM)
continuous minimax 295, 308–9
immunization 292–303
multivariate immunization 295–303
risk in immunization 303–7
stochastic models 315–34
uncertainty 291–340
univariate convexity 312–15
univariate duration 309–12
associated risk 250
“at-the-money” 189
augmented Lagrangians 132–7, 142
backtesting 258–60
balance sheet restructuring 318–19
barbell strategies 293
barrier functions 46–9
benchmarking
asset allocation 247–52, 261–71, 290
currency management 341, 345–80
beta of the hedge 226
BFGS see Broyden-FletcherGoldfarb-Shanno
binomial trees 229–33, 315–18
Black and Scholes (BS) 183–7, 244–5, 287–8
bonds
liabilities 300–3
management 252–61
minimax 252–60, 277–84
options 226–33
portfolios 252–61, 264–71, 277–84
prices 231
boundaries, downside risk 274–7 bounded sets 20–1 British Telecom 239, 240–1, 242, 243
Brownian Motion 244
Broyden update 50
Broyden-Fletcher-Goldfarb-Shanno (BFGS) formula 72–5
BS see Black and Scholes
bullet strategies 293
bundle nonsmooth optimization 23–5

-381-

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Algorithms for Worst-Case Design and Applications to Risk Management
Table of contents

Table of contents

  • Title Page *
  • Algorithms for Worst-Case Design and Applications to Risk Management *
  • Contents vii
  • Preface xiii
  • Chapter 1 - Introduction to Minimax 1
  • References 17
  • Comments and Notes *
  • Chapter 2 - A Survey of Continuous Minimax Algorithms 23
  • References *
  • Comments and Notes *
  • Chapter 3 - Algorithms for Computing Saddle Points 37
  • References *
  • Comments and Notes *
  • Chapter 4 - A Quasi-Newton Algorithm for Continuous Minimax 63
  • References *
  • Appendix A - Implementation Issues *
  • Appendix B - Motivation for the Search Direction D̄ *
  • Comments and Notes *
  • Chapter 5 - Numerical Experiments with Continuous Minimax Algorithms 93
  • References 119
  • Chapter 6 - Minimax as a Robust Strategy for Discrete Rival Scenarios 121
  • References *
  • Chapter 7 - Discrete Minimax Algorithm for Equality and Inequality Constrained Models 139
  • References *
  • Chapter 8 - A Continuous Minimax Strategy for Options Hedging 179
  • References *
  • Appendix A - Weighting Hedge Recommendations, Variant B* *
  • Appendix B - Numerical Examples 237
  • Comments and Notes 244
  • Chapter 9 - Minimax and Asset Allocation Problems 247
  • References *
  • Comments and Notes *
  • Chapter 10 - Asset/liability Management under Uncertainty 291
  • References *
  • Comments and Notes *
  • Chapter 11 - Robust Currency Management 341
  • References *
  • Appendix - Currency Forecasting *
  • Comments and Notes *
  • Index 381
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