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Optimization methods in finance

Author: Gerard Cornuejols; Reha Tütüncü
Publisher: Cambridge : Cambridge Univ. Press, 2007.
Series: Mathematics, finance and risk.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This textbook discusses optimization problems encountered in financial models, describes the relevant theory and efficient solution methods, and shows how to apply them to practical problems in  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Gerard Cornuejols; Reha Tütüncü
ISBN: 0521861705 9780521861700
OCLC Number: 255835616
Notes: Literaturverz. S. 338 - 341.
Description: XII, 345 Seiten : Diagramme.
Contents: 1. Introduction; 2. Linear programming: theory and algorithms; 3. LP models: asset/liability cash flow matching; 4. LP models: asset pricing and arbitrage; 5. Nonlinear programming: theory and algorithms; 6. NLP volatility estimation; 7. Quadratic programming: theory and algorithms; 8. QP models: portfolio optimization; 9. Conic optimization tools; 10. Conic optimization models in finance; 11. Integer programming: theory and algorithms; 12. IP models: constructing an index fund; 13. Dynamic programming methods; 14. DP models: option pricing; 15. DP models: structuring asset backed securities; 16. Stochastic programming: theory and algorithms; 17. SP models: value-at-risk; 18. SP models: asset/liability management; 19. Robust optimization: theory and tools; 20. Robust optimization models in finance; Appendix A. Convexity; Appendix B. Cones; Appendix C. A probability primer; Appendix D. The revised simplex method; Bibliography; Index.
Series Title: Mathematics, finance and risk.
Responsibility: Gerard Cornuejols ; Reha Tütüncü.
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'This book will be useful as a textbook for students in financial engineering at the MS level. ... The book will also be of interest to researchers and graduate students in optimization who are Read more...

 
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