Titles in this Series

EURO Advanced Tutorials on Operational Research

http://www.springer.com/series/13840

Celebrating the 50th anniversary of EURO, the first chapter of each book in the series is free accessible between the 1^st of July and the 31^st of October 2025. Also, the publisher Springer offers a 50% discount using the Code EUROAnniv50 when purchasing a EURO book between the 1^st of September and the 31^st of October 2025 on link.springer.com

It is our interest to make this EURO instrument a great success for our community. Thus, if you miss a book on a particular topic, or have material for a new book with the scope of this EURO instrument, please, contact the Editors.

Aim and scope

The EURO Advanced Tutorials on Operational Research are a series of short books devoted to an advanced topic – a topic that is not treated in depth in available textbooks. The series comprehensively covers all aspects of Operations Research. The scope of a Tutorial is to provide an understanding of an advanced topic to young researchers, such as PhD students or Post-docs, but also to senior researchers and practitioners. Tutorials may be used as textbooks in graduate courses. These tutorials are not collections of chapters written by different authors.

The scientific scope of this textbook series is the general scope of Operations Research and the series will publish both application-oriented tutorials (e.g. portfolio optimization, cutting and packing, location, vehicle routing, scheduling, etc.) and method- or technique-oriented tutorials (e.g. branch-and-cut, Lagrangean relaxation, column generation, metaheuristics, heuristics, dynamic programming, etc.).

The format of the tutorial will be that of a textbook. Therefore, although co-authored books are very much welcomed, the number of authors should be small enough to allow for a uniform style and vision throughout the book. We expect authors to be prominent scholars with extensive didactic experience.

The tutorials will have usually between 80 and 150 pages. Besides the printed format, they will be included in the Springer e-book collection.

Series Editors

M. Grazia Speranza, Dipartimento de Economia e Management. Università di Brescia. Italy. (e-mail: grazia.speranza@unibs.it)

Kenneth Sörensen, Department of Engineering Management, University of Antwerp, Belgium. (e-mail: kenneth.sorensen@uantwerpen.be)

Please contact the editors for more information or to submit ideas for topics.

Past Series Editor

José Fernando Oliveira, Faculdade de Engenharia. Universidade do Porto, Portugal (2014-2023).

LATEST ISSUE

Variational Inequalities in Management Science and Finance

Modelling, Analysis, Numerics and Applications

Springer Link

Authors:

Andrianos E. Tsekrekos
Department of Accounting and Finance, Athens University of Economics and Business, Athens, Greece

Athanasios N. Yannacopoulos
Department of Statistics, Athens University of Economics and Business, Athens, Greece

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, non-rigorous approaches often used in financial economics or managerial literature.

Building on fundamental examples of concrete applications drawn from management science and finance, the book gradually develops the connection between optimal stopping problems and variational inequalities. It provides precise results on their derivation, solution properties, and their use to derive optimal policies in general frameworks of stochastic factors driving the state processes. Emphasis is also placed on the numerical treatment and approximation of VIs. All technical results are illustrated in detail for the characteristic problems presented at the beginning as motivating examples. It also offers a brief introduction to more advanced topics, including VIs for multi-scale problems and VIs related to optimal stopping problems under model uncertainty.

This book will be of interest to graduate students and researchers who wish for a quick, yet thorough introduction to the field. Practitioners who want to familiarise themselves with applications of VIs in management science and finance will also find this book useful.

Keywords: Variational Inequalities, Optimal Stopping, Finance Applications, Free Boundary Value Problems, Monotone Operators, Quantitative Finance, Probability Theory, Vis, Mathematical Finance, Applied Stochastic Analysis

This work is licensed under a Creative Commons Attribution-ShareAlike 3.0 International License and the GNU Free Documentation License (unversioned, with no invariant sections, front-cover texts, or back-cover texts).