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GAMS Contributed Documentations: Financial Applications
Advanced Risk Management Using Stochastic Optimization with Financial Applications - Course Notes and Models
Jitka Dupacova:
Scenario generation for multistage models
Søren S. Nielsen:
Course Notes
Notes
WINVEST: An Asset/Liability Management Case
Models
Werner Römisch, Nicole Gröwe-Kuska:
Approximations of Stochastic Programs. Scenario Tree Reduction and Construction
GAMS/SCENRED - Tutorial
Examples
Polyhedral risk measures in stochastic programming
Hercules Vladimirou:
Brief Introduction to Stochastic Programming (and Financial Applications)
Stochastic Programming Models for Managing International Investment Portfolios
Models
Søren S. Nielsen: Financial Modeling and Optimization under Uncertainty - Course Notes and Models
Mathematical Modeling and Optimization with Applications in Finance
Financial Modeling and Optimization under Uncertainty - additional slides
WINVEST: An Asset/Liability Management Case
Models