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Three essays on stochastic optimizat...

Zhang, Huiju.

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Three essays on stochastic optimization applied in financial engineering and inventory managment.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Three essays on stochastic optimization applied in financial engineering and inventory managment./
Author:	Zhang, Huiju.
Description:	129 p.
Notes:	Source: Dissertation Abstracts International, Volume: 68-04, Section: A, page: .
Contained By:	Dissertation Abstracts International68-04A.
Subject:	Business Administration, Management. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3260321

Three essays on stochastic optimization applied in financial engineering and inventory managment.
Zhang, Huiju.

Three essays on stochastic optimization applied in financial engineering and inventory managment. - 129 p.

Source: Dissertation Abstracts International, Volume: 68-04, Section: A, page: .

Thesis (Ph.D.)--University of Maryland, College Park, 2007.

Stochastic optimization methods are now being widely used in a multitude of applications. This dissertation includes three essays on applying stochastic optimization methods to solve problems in inventory management and financial engineering.Subjects--Topical Terms:

626628
Business Administration, Management.

Three essays on stochastic optimization applied in financial engineering and inventory managment.
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035 $a (UMI)AAI3260321
035 $a AAI3260321
040 $a UMI $c UMI
100 1 $a Zhang, Huiju. $3 1922022
245 1 0 $a Three essays on stochastic optimization applied in financial engineering and inventory managment.
300 $a 129 p.
500 $a Source: Dissertation Abstracts International, Volume: 68-04, Section: A, page: .
500 $a Adviser: Michael C. Fu.
502 $a Thesis (Ph.D.)--University of Maryland, College Park, 2007.
520 $a Stochastic optimization methods are now being widely used in a multitude of applications. This dissertation includes three essays on applying stochastic optimization methods to solve problems in inventory management and financial engineering.
520 $a Essay one addresses the problem of simultaneous price determination and inventory management. Demand depends explicitly on the product price p, and the inventory control system operates under a periodic review (s, S) ordering policy. To minimize the long-run average loss, we derive sample path derivatives that can be used in a gradient-based algorithm for determining the optimal values of the three parameters (s, S, p) in a simulation-based optimization procedure. Numerical results for several optimization examples via different stochastic algorithms are presented, and consistency proofs for the estimators are provided.
520 $a Essay two considers the application of stochastic optimization methods to American-style option pricing. We apply a randomized optimization algorithm called Model Reference Adaptive Search (MRAS) to pricing American-style options through parameterizing the early exercise boundary. Numerical results are provided for pricing American-style call and put options written on underlying assets following geometric Brownian motion and Merton jump-diffusion processes. We also price American-style Asian options written on underlying assets following geometric Brownian motion. The results from the MRAS algorithm are compared with the cross-entropy (CE) method, and MRAS is found to be an efficient method.
520 $a Essay three addresses the problem of finding the optimal importance sampling measure when simulating portfolios of credit risky assets. We apply a gradient-based stochastic approximation method to find the parameters in the minimum variance problem when importance sampling is used. The gradient estimator is obtained under the original measure. We also employ the CE method to solve the same variance minimization problem. Numerical results illustrating the variance reduction are presented for the estimation of the portfolios' expected loss, unexpected loss and quantiles.
590 $a School code: 0117.
650 4 $a Business Administration, Management. $3 626628
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Operations Research. $3 626629
690 $a 0454
690 $a 0770
690 $a 0796
710 2 0 $a University of Maryland, College Park. $b Business and Management: Decision & Information Technologies. $3 1678266
773 0 $t Dissertation Abstracts International $g 68-04A.
790 1 0 $a Fu, Michael C., $e advisor
790 $a 0117
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3260321