Monte Carlo Methods in Financial Engineering
By
Paul Glasserman

Springer-Verlag Book Series: Applications of Mathematics (Volume 53)

Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, simulated research into new Monte Carlo methods and renewed interest in some older techniques.
This book develops the use of Monte Carlo methods in finance, and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It dives toughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundation of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options and measuring market risk and credit risk in financial portfolios.

The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation and practitioners implementing models in industry.

Springer-Verlag, Hardcover, ISBN 0-387-00451-3, 2003, XIII, 596 pages 99 illustrations 69.95 USD
http://www.springeronline.com/sgw/cda/frontpage/0,10735,4-40109-22-9775644-0,00.html

Quantitative Methods in Project Management
By
John C. Goodpasture
This is a practitioner’s book, combining theoretical and practical applications for project professionals. It is a loosely coupled work flow that takes PM’s through the most important quantitative methods, integrates them, and shows interrelationships that cannot be obtained by separate readings. These practical methods can be applied easily by project practitioners who are not steeped in theory and need to know how to make everyday use of numerical analysis in projects. This book also covers financial and life cycle risk as well as risk for the project itself and contains unique extensions to earned value and project initiation. This book will be of particular interest to project managers, program managers, project administrators, system engineers, cost and risk estimators, as well as continuing education and seminar providers.

J. Ross Publishing, Hardcover, ISBN: 1-932159-15-0, December 2003, 6 x 9, 288 Pages, USD 64.95
http://www.jrosspub.com/Engine/Shopping/catalog.asp?store=&category=&itempage=&item=2996&itemonly=1

Introduction to Operations Research , 8th Edition
By
Frederick Hillier, Stanford University Gerald J. Lieberman (deceased) 

The 8th edition of Introduction to Operations Research remains the classic operations research text while incorporating a wealth of state-of-the-art, user-friendly software and more coverage of business applications than ever before. The hallmark features of this edition include clear and comprehensive coverage of fundamentals, an extensive set of interesting problems and cases, and state-of-the-practice operations research software used in conjunction with examples from the text. This edition will also feature the latest developments in OR, such as metaheuristics, simulation, and spreadsheet modelling.

New to this edition:
New textbook material includes: a chapter on metaheuristics; and sections on constraint programming, multiechelon inventory models for supply chain management, and spreadsheet modeling. Expanded coverage of spreadsheets. The 8th edition now features a CD and web-only chapter on "The Art of Modeling with Spreadsheets" and textbook sections on "Formulating and Solving Linear Programming Models on a Spreadsheet," "Performing Sensitivity Analysis on a Spreadsheet," "Using Spreadsheets to Perform Sensitivity Analysis on Decision Trees," and "Performing Simulations on Spreadsheets."

Each book comes with a CD-ROM containing the aforementioned software in addition to bonus chapters [including Crystal Ball, The Art of Modeling with Spreadsheets, among others], sections, over twenty additional cases, and more examples. Bonus chapters and cases can also be found on the book's Online Learning Center. A list of chapter-specific learning aids available on the CD-ROM is provided at the end of each chapter.

This edition has been trimmed down to a more appropriate size for an introductory textbook by shifting little-used material to the CD-ROM.

A new test bank featuring moderately challenging questions and complete solutions is being provided to instructors on the password-protected portion of the book's Online Learning Center.

McGraw-Hill Higher Education Hardcover with access card, ISBN 0-07-301779-5, July 2004 http://www.mhhe.com/catalogs/0073017795.mhtml

Project Selection Under Uncertainty:  Dynamically Allocating Resources to Maximize Value
By
Stylianos Kavadias, Georgia Institute of Technology, Atlanta, USA
Christoph H. Loch, INSEAD, Fontainebleau, France

Kluwer Book Series:  International Series in Operations Research and Management Science (Volume 69)

Project Selection Under Uncertainty is the result of a five-year research program on the selection of projects in New Product Development (NPD). Choosing the New Product Development portfolio is of critical importance in today's business environment. The NPD portfolio has considerable strategic effect on the "middle term" success of a business.

This book takes a step in developing a theory that addresses the need for quantitative prioritisation criteria within the broader strategic context of the R&D portfolios. Its foundation lies in mathematical theory of resource-constrained optimisation with the goal to maximize quantitative returns. The book seeks to broaden the portfolio discussion in two ways. First, simplified models - appropriate for the data-poor NPD context - are developed, which attempt to illuminate the structure of the choice problem and robust qualitative rules of thumb, rather than detailed algorithmic decision support. Such robust rules can be applied in the R&D environment of poor data availability. Second, the annual portfolio review is not the only important choice in resource allocation. In addition, the book discusses how ideas might be pre-screened as they emerge, and how projects should be prioritized once they are funded and ongoing.

Kluwer Academic Publishers, Boston, Hardbound, ISBN 1-4020-7703-3, January 2004, 160 pages, EUR 88.00 /  USD 98.00 /  GBP 61.00
http://www.wkap.nl/prod/b/1-4020-7703-3

Decision Modelling and Information Systems: The Information Value Chain
By
Nikitas-Spiros Koutsoukis, CARISMA: Centre for the Analysis of Risk and Optimisation Modelling Applications, Mathematical Sciences and Economics and Finance, Brunel University, Uxbridge, UK
Gautam Mitra, CARISMA: Centre for the Analysis of Risk and Optimisation Modelling Applications, Mathematical Sciences and Economics and Finance, Brunel University, Uxbridge, UK

Kluwer Book Series:  Operations Research/Computer Science Interfaces (Volume 26)

In Decision Modelling And Information Systems: The Information Value Chain the authors explain the interrelationships between the decision support, decision modelling, and information systems. The authors borrow from Porter's value chain concept originally set out in the organizational context and apply it to a corporate IS context. Thus data, information and knowledge is seen to be the progressive value-added process leading to business intelligence. The book captures key issues that are of central interest to decision support researchers, professionals, and students. The book sets out an interdisciplinary and contemporary view of Decision Support System (DSS).

The first two parts of the book focus on the interdisciplinary decision support framework, in which mathematical programming (optimisation) is taken as the inference engine. The role of business analytics and its relationship with recent developments in organisational theory, decision modelling, information systems and information technology are considered in depth. Part three of the book includes a carefully chosen selection of invited contributions from internationally-known researchers. These contributions are thought-provoking and cover key decision modelling and information systems issues.

The final part of the book covers contemporary developments in the related area of business intelligence considered within an organisational context. The topics cover computing delivered across the web, management decision-making, and socio-economic challenges that lie ahead. It is now well accepted that globalisation and the impact of digital economy are profound; and the role of e-business and the delivery of decision models (business analytics) across the net lead to a challenging business environment. In this dynamic setting, decision support is one of the few interdisciplinary frameworks that can be rapidly adopted and deployed to so that businesses can survive and prosper by meeting these new challenges.

Kluwer Academic Publishers, Boston, Hardbound, ISBN 1-4020-7560-X, September 2003, 384 pages, EUR 122.00 /  USD 135.00 /  GBP 84.00
http://www.wkap.nl/prod/b/1-4020-7560-X

A First Course in Combinatorial Optimization
By Jon Lee

Jon Lee focuses on key mathematical ideas leading to useful models and algorithms, rather than on data structures and implementation details, in this introductory graduate-level text for students of operations research, mathematics, and computer science. The viewpoint is polyhedral, and Lee also uses matroids as a unifying idea. Topics include linear and integer programming, polytopes, matroids and matroid optimization, shortest paths, and network flows. Problems and exercises are included throughout as well as references for further study.

Cambridge University Press, Paperback, ISBN 0521010128, February 2004, 228 pages,  32.00 USD
http://www.cup.org/titles/catalogue.asp?isbn=0521010128

Community Operational Research:  OR and Systems Thinking for Community Development
Edited by
 Gerald Midgley, Institute of Environmental Sciences and Research (ESR Ltd.), Christchurch, New Zealand and Centre for Systems Studies, Business School, University of Hull, UK
Alejandro Ochoa-Arias, Universidad de Los Andes, Merida, Venezuela
 
 Kluwer Book Series:  Contemporary Systems Thinking

This book sets out the current concerns of community operational research and explores new possibilities for its development. Leading community OR writers with international reputations in operational research and systems, have contributed chapters that illuminate different aspects of community OR theory and practice.

Following an introductory chapter by the editors on community OR, the book is presented in four sections:

Section one presents the history and development of community OR and people's motivations for engaging in it. Methodological issues are also discussed.

Section two covers local action for community development. Even though the emphasis is on dealing with local issues, all the authors use methods and techniques to support widely informed decision-making. In every case, the impacts of a complex variety of phenomena are taken into account.

Section three is entitled "Dealing Locally with Global Issues." Here, the themes of community development are taken one stage further, and include authors who are explicitly seeking to address global issues (e.g. environmental problems and the international dimensions of poverty) through widely informed local action.

Finally, Section four, "The Politics of Systemic Intervention," discusses two themes: the political nature of community OR practice and the value of systems thinking to community development.

Kluwer Academic/Plenum Publishers, Hardbound, ISBN 0-306-48335-1, April 2004, 400 pages, EUR 82.00 /  USD 90.00 /  GBP 56.00 
http://www.wkap.nl/prod/b/0-306-48335-1

Constraint and Integer Programming:  Toward a Unified Methodology
Edited by
Michela Milano, Università di Bologna, Italy

Kluwer Book Series:  Operations Research/Computer Science Interfaces (Volume 27)

Despite differing origins, constraint programming and mathematical programming are beginning to merge. Constraint programming has grown out of the logic programming community as part of an effort to embed constraints in a programming language. Mathematical programming, a much older field, is rooted in the mathematics of optimisation. Because these two areas have complementary strengths, there are ongoing efforts to integrate the two. Constraint and Integer Programming presents some of the basic ideas of constraint programming and mathematical programming, explores approaches to integration, brings us up to date on heuristic methods, and attempts to discern future directions in this fast-moving field. 

Kluwer Academic Publishers, Boston, Hardbound, ISBN1-4020-7583-9, November 2003, 403 pages, EUR 117.00 /  USD 130.00 /  GBP 81.00
http://www.wkap.nl/prod/b/1-4020-7583-9

Grid Resource Management:  State of the Art and Future Trends
Edited by
Jarek Nabrzyski, Poznań Supercomputing and Networking Center, Poland
Jennifer M. Schopf, Mathematics and Computer Science Division, Argonne National Laboratory, IL, USA
Jan Weglarz, Poznań University of Technology, Poland

Kluwer Book Series:  International Series in Operations Research and Management Science (Volume 64)

Grid Resource Management: State of the Art and Future Trends presents an overview of the state of the field and describes both the real experiences and the current research available today. Grid computing is a rapidly developing and changing field, involving the shared and coordinated use of dynamic, multi-institutional resources. Grid resource management is the process of identifying requirements, matching resources to applications, allocating those resources, and scheduling and monitoring grid resources over time in order to run grid applications as efficiently as possible. While grids have become almost commonplace, the use of good grid resource management tools is far from ubiquitous because of the many open issues of the field, including the multiple layers of schedulers, the lack of control over resources, the fact that resources are shared, and that users and administrators have conflicting performance goals. These are the issues addressed in this book, in addition to elucidating the overlap with related areas including discussions of work with peer-to-peer computing, economic approaches, and operations research.

Grid Resource Management: State of the Art and Future Trends is an invaluable resource for today's user, application developer, or resource owners when working with grid resource management systems.

Kluwer Academic Publishers, Boston, Hardbound, ISBN 1-4020-7575-8, October 2003, 150 pages, EUR 144.00 /  USD 160.00 /  GBP 99.00
http://www.wkap.nl/prod/b/1-4020-7575-8

Data Envelopment Analysis: Theory and Techniques for Economics and Operations Research
By
Subhash C Ray

This book describes the method of data envelopment analysis that uses mathematical programming techniques to obtain measures of efficiency of individual forms from their observed input and output quantities. The method permits setting up realistic input-output targets for the firm's managers. A firm is considered to be technically inefficient when it fails to yield the maximum quantity of output producible from the input bundle it uses. Measurement of technical efficiency is important for performance evaluation and provides an objective basis for differential rewards in the context of production.

Cambridge University Press, Hardcover, ISBN: 0521802563, April 30, 2004, 268 pages, USD 75.00
http://www.cup.org/titles/catalogue.asp?isbn=0521802563

Handbook of Operations Research and Health Care
Edited by
François Sainfort, School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, USA
Margaret L. Brandeau, Dept. of Management Science and Engineering, Stanford University, CA, USA
William P. Pierskalla, University of California at Los Angeles, USA 

Kluwer Book Series: International Series in Operations research and Management Science (Volume 70)

The decision technologies, tools and theories of operations research and management sciences have long been applied to a wide range of issues and problems within health care. To date, however, there has been no single handbook that synthesises the wide applicability of such techniques. The "Handbook of Operations Research and Health Care" now makes available to practitioners, students and researchers a comprehensive handbook volume that will help them improve their ability to apply these decision technologies. In addition, the handbook will present new state-of-the-art techniques, explore new issues and challenges, and examine new aven ues for research.

This handbook will fill these needs in a three-fold approach:

1. It reviews health care systems (in the U.S., other developed countries, and developing countries), their structure, environment and evolution. It reviews key issues, problems and challenges experienced today and to be expected in the future.
2. It synthesises decision technology applications published in the last 10 years. It describes which health care delivery issues, problems and challenges were addressed in the past, while highlighting areas for future operations research/management science work in health care.
3. It provides a comprehensive series of state-of-the-art applications — each of which are written by a leading authority — detailing the problem area, the methodology (or methodologies) employed, the implementation, the results and the issues/avenues raised for future research.
The handbook will serve a large multidisciplinary audience that includes: decision technology practitioners, students, scientists and researchers with interest (either new interest or existing expertise) in health care, practitioners in health sciences, health administration, public health, health care delivery and health policy.

Kluwer Academic Publishers, Hardbound, ISBN 1-4020-7629-0, March 2004, 650 pages, EUR 159.00 /  USD 174.00 /  GBP 108.00    
Pre-publication offer valid until 30 June 2004: EUR 108.00/USD 120.00/GBP 74.00
http://www.wkap.nl/prod/b/1-4020-7629-0

Distributed Decision Making , Second Edition
By
Christoph Schneeweiss
 
Distributed decision making has become of increasing importance in quantitative decision analysis. In applications like supply chain management, service operations or managerial accounting, DDM has led to a paradigm shift. This book provides a unified approach to such seemingly diverse fields as multi-level stochastic programming, hierarchical production planning, principal agent theory, negotiations and contract theory. Different settings like multi-level one-person decision problems, multi-person antagonistic planning and leadership situations are covered. Numerous examples and real-life planning cases illustrate the concepts. The new edition has been considerably expanded by additional chapters on supply chain management, service operations and multi-agent systems.

Springer-Verlag, Hardcover, ISBN: 3-540-40201-2, 2nd ed., 2003, XVI, 528 pages, 120 illustrations, USD 119
http://www.springeronline.com/sgw/cda/frontpage/0,10735,4-40109-22-2662413-0,00.html

 
New Efficiency Theory:  With Applications of Data Envelopment Analysis
By
Jati K. Sengupta

New efficiency theory refers to the various parametric and semi-parametric methods of estimating production and cost frontiers, which include data envelopment analysis (DEA) with its diverse applications to management science and operations research. This monograph develops and generalises the new efficiency theory by highlighting the interface between economic theory and operations research.

Some of the features of the monograph include: 1) integrating the theory of firm efficiency and industry equilibrium, 2) emphasising growth of efficiency in a dynamic setting, 3) incorporating uncertainty of market demand and prices, 4) the implications of group efficiency by sharing investments. Applications discuss in some detail the growth and decline of the U.S. computer industry, and the relative performance of mutual fund portfolios.

Springer-Verlag, Hardcover, ISBN: 3-540-14013-1, 2003, VIII, 176 pages, 23 illustrations, 89.95 USD
http://www.springeronline.com/sgw/cda/frontpage/0,10735,4-40109-22-2323902-0,00.html