First of all, the problem scope and the theoretical foundation are presented. The considered ISC network is a layered network in which nodes represent points of interactions between the two layers.

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...

Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...

Option pricing and stochastic control methods constitute a vital intersection of quantitative finance and applied mathematics, offering robust frameworks for evaluating derivative securities and ...

Stochastic programming methods can be applied to portfolio optimization in the context of pension fund management. In this paper we apply stochastic programming wherein the allocations are found among ...