This book provides a rigorous introduction to the theory, computation, and applications of variational inequalities (VIs), with a focus on applications in management science and finance. It aims to bridge the gap between the abstract mathematical treatments of the subject and simplistic,...

Intro -- Contents -- Preface -- Contributors -- Introduction -- Risk Management and Portfolio Optimization -- Importance Sampling and StratiEcation for Value-at-Risk -- ConEdence Intervals and Hypothesis Testing for the -- Sharpe and Treynor Performance Measures: -- A Bootstrap Approach --...

In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic factors into account, this problem is...

Cover -- Title Page -- Copyright -- Contents -- Preface -- Who Should Read this Book? -- PART A Mathematical Foundation for One‐Factor Problems -- CHAPTER 1 Real Analysis Foundations for this Book -- 1.1 Introduction and Objectives -- 1.2 Continuous Functions -- 1.2.1 Formal Definition of...