Stochastic Programming

Stochastic Programming in Finance

Introduction

Stochastic programming has been applied in finance in a number of areas. An overview is given by the papers by John R. Birge: Using stochastic programming in financial engineering (HTML).

Links to research groups

Centre for Financial Research at The Judge Institute of Management, University of Cambridge
Centre for the Analysis of Risk and Optimisation Modelling Application (CARISMA) at Brunel University
IBM research in Stochastic Programming
Risk Management and Financial Engineering (RMFE) Lab at the University of Florida
Stochastic Programming and its Applications in Finance at the Helsinki School of Economics