Optimization Methods in Finance

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance
Cover of the book Optimization Methods in Finance by Gerard Cornuejols, Reha Tütüncü, Cambridge University Press
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Author: Gerard Cornuejols, Reha Tütüncü ISBN: 9781139637381
Publisher: Cambridge University Press Publication: December 21, 2006
Imprint: Cambridge University Press Language: English
Author: Gerard Cornuejols, Reha Tütüncü
ISBN: 9781139637381
Publisher: Cambridge University Press
Publication: December 21, 2006
Imprint: Cambridge University Press
Language: English

Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

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Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

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