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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