Practical Financial Optimization: A Library of GAMS Models

Acknowledgments

Some of the models developed in this book are based on our own published research, and we wish to express our appreciation to all colleagues and students from whom we have learned a great deal. Their contributions are gratefully acknowledged without implicating them in the final product.

Alex Meeraus, unquestionably the father of algebraic modeling languages and the founder of GAMS Development Corporation, has been not only a constant source of encouragement and a solid sounding board for ideas, but he also added a helping hand in compiling the library that accompanies this volume.

Over the years we have benefited from interaction with numerous collaborators. They all have had a significant impact on our work with financial modeling, and we thank them in strictly alphabetical order: Andrea Beltratti, Marida Bertocchi, Flavio Cocco, Rita D’Ecclesia, Rosella Giacometti, Ben Golub, Martin Holmer, Norbert Jobst, Roy Kouwenberg, Franz Nelissen, David Saunders, Nicholas Topaloglou, Hercules Vladimirou.

Sadly, during the writing of this book our colleague, student, and good friend Søren S. Nielsen passed away. His fingerprints are everywhere in this book, from the writing of the introduction to the GAMS modeling system, from the discussion of the models in several chapters, to the GAMS implementation of many models. The long delay in completing this volume is a sign of the great value that Søren added to the team, and his name features deservedly as a coauthor. But what ...