Optimization methods in finance:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2007
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Mathematics, finance and risk
5 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | XII, 345 S. graph. Darst. |
| ISBN: | 9780521861700 0521861705 |
Internformat
MARC
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| 100 | 1 | |a Cornuéjols, Gérard |d 1950- |e Verfasser |0 (DE-588)121146855 |4 aut | |
| 245 | 1 | 0 | |a Optimization methods in finance |c Gerard Cornuejols ; Reha Tütüncü |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2007 | |
| 300 | |a XII, 345 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Mathematics, finance and risk |v 5 | |
| 650 | 4 | |a Finanzierung - Optimierung | |
| 650 | 4 | |a Mathematische Optimierung / Finanzmarkt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Mathematical optimization | |
| 650 | 0 | 7 | |a Finanzierung |0 (DE-588)4017182-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Optimierung |0 (DE-588)4043664-0 |2 gnd |9 rswk-swf |
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| 689 | 0 | 1 | |a Optimierung |0 (DE-588)4043664-0 |D s |
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Datensatz im Suchindex
| _version_ | 1804139027647954944 |
|---|---|
| adam_text | Contents
Foreword page xi
1 Introduction 1
1.1 Optimization problems 1
1.2 Optimization with data uncertainty 5
1.3 Financial mathematics 8
2 Linear programming: theory and algorithms 15
2.1 The linear programming problem 15
2.2 Duality 17
2.3 Optimality conditions 21
2.4 The simplex method 23
3 LP models: asset/liability cash flow matching 41
3.1 Short term financing 41
3.2 Dedication 50
3.3 Sensitivity analysis for linear programming 53
3.4 Case study: constructing a dedicated portfolio 60
4 LP models: asset pricing and arbitrage 62
4.1 Derivative securities and the fundamental theorem of asset pricing 62
4.2 Arbitrage detection using linear programming 69
4.3 Additional exercises 71
4.4 Case study: tax clientele effects in bond portfolio management 76
5 Nonlinear programming: theory and algorithms 80
5.1 Introduction 80
5.2 Software 82
5.3 Univariate optimization 82
5.4 Unconstrained optimization 92
5.5 Constrained optimization 100
5.6 Nonsmooth optimization: subgradient methods 110
vii
viii Contents
6 NLP models: volatility estimation 112
6.1 Volatility estimation with GARCH models 112
6.2 Estimating a volatility surface 116
7 Quadratic programming: theory and algorithms 121
7.1 The quadratic programming problem 121
7.2 Optimality conditions 122
7.3 Interior point methods 124
7.4 QP software 135
7.5 Additional exercises 136
8 QP models: portfolio optimization 138
8.1 Mean variance optimization 138
8.2 Maximizing the Sharpe ratio 155
8.3 Returns based style analysis 158
8.4 Recovering risk neutral probabilities from
options prices 161
8.5 Additional exercises 165
8.6 Case study: constructing an efficient portfolio 167
9 Conic optimization tools 168
9.1 Introduction 168
9.2 Second order cone programming 169
9.3 Semidefinite programming 173
9.4 Algorithms and software 177
10 Conic optimization models in finance 178
10.1 Tracking error and volatility constraints 178
10.2 Approximating covariance matrices 181
10.3 Recovering risk neutral probabilities from
options prices 185
10.4 Arbitrage bounds for forward start options 187
11 Integer programming: theory and algorithms 192
11.1 Introduction 192
11.2 Modeling logical conditions 193
11.3 Solving mixed integer linear programs 196
12 Integer programming models: constructing an index fund 212
12.1 Combinatorial auctions 212
12.2 The lockbox problem 213
12.3 Constructing an index fund 216
12.4 Portfolio optimization with minimum
transaction levels 222
12.5 Additional exercises 223
12.6 Case study: constructing an index fund 224
Contents ix
13 Dynamic programming methods 225
13.1 Introduction 225
13.2 Abstraction of the dynamic programming approach 233
13.3 The knapsack problem 236
13.4 Stochastic dynamic programming 238
14 DP models: option pricing 240
14.1 A model for American options 240
14.2 Binomial lattice 242
15 DP models: structuring asset backed securities 248
15.1 Data 250
15.2 Enumerating possible tranches 252
15.3 A dynamic programming approach 253
15.4 Case study: structuring CMOs 254
16 Stochastic programming: theory and algorithms 255
16.1 Introduction 255
16.2 Two stage problems with recourse 256
16.3 Multi stage problems 258
16.4 Decomposition 260
16.5 Scenario generation 263
17 Stochastic programming models: Value at Risk and
Conditional Value at Risk 271
17.1 Risk measures 271
17.2 Minimizing CVaR 274
17.3 Example: bond portfolio optimization 276
18 Stochastic programming models: asset/liability management 279
18.1 Asset/liability management 279
18.2 Synthetic options 285
18.3 Case study: option pricing with transaction costs 288
19 Robust optimization: theory and tools 292
19.1 Introduction to robust optimization 292
19.2 Uncertainty sets 293
19.3 Different flavors of robustness 295
19.4 Tools and strategies for robust optimization 302
20 Robust optimization models in finance 306
20.1 Robust multi period portfolio selection 306
20.2 Robust profit opportunities in risky portfolios 311
20.3 Robust portfolio selection 313
20.4 Relative robustness in portfolio selection 315
20.5 Moment bounds for option prices 317
20.6 Additional exercises 318
x Contents
Appendix A Convexity 320
Appendix B Cones 322
Appendix C A probability primer 323
Appendix D The revised simplex method 327
References 338
Index 342
|
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| author | Cornuéjols, Gérard 1950- Tütüncü, Reha |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| indexdate | 2024-07-09T21:37:33Z |
| institution | BVB |
| isbn | 9780521861700 0521861705 |
| language | English |
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| series | Mathematics, finance and risk |
| series2 | Mathematics, finance and risk |
| spelling | Cornuéjols, Gérard 1950- Verfasser (DE-588)121146855 aut Optimization methods in finance Gerard Cornuejols ; Reha Tütüncü 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2007 XII, 345 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematics, finance and risk 5 Finanzierung - Optimierung Mathematische Optimierung / Finanzmarkt Mathematisches Modell Finance Mathematical models Mathematical optimization Finanzierung (DE-588)4017182-6 gnd rswk-swf Optimierung (DE-588)4043664-0 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Optimierung (DE-588)4043664-0 s DE-604 Tütüncü, Reha Verfasser (DE-588)140965920 aut Mathematics, finance and risk 5 (DE-604)BV023813558 5 http://www.ulb.tu-darmstadt.de/tocs/184578124.pdf Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017470156&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cornuéjols, Gérard 1950- Tütüncü, Reha Optimization methods in finance Mathematics, finance and risk Finanzierung - Optimierung Mathematische Optimierung / Finanzmarkt Mathematisches Modell Finance Mathematical models Mathematical optimization Finanzierung (DE-588)4017182-6 gnd Optimierung (DE-588)4043664-0 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4043664-0 |
| title | Optimization methods in finance |
| title_auth | Optimization methods in finance |
| title_exact_search | Optimization methods in finance |
| title_full | Optimization methods in finance Gerard Cornuejols ; Reha Tütüncü |
| title_fullStr | Optimization methods in finance Gerard Cornuejols ; Reha Tütüncü |
| title_full_unstemmed | Optimization methods in finance Gerard Cornuejols ; Reha Tütüncü |
| title_short | Optimization methods in finance |
| title_sort | optimization methods in finance |
| topic | Finanzierung - Optimierung Mathematische Optimierung / Finanzmarkt Mathematisches Modell Finance Mathematical models Mathematical optimization Finanzierung (DE-588)4017182-6 gnd Optimierung (DE-588)4043664-0 gnd |
| topic_facet | Finanzierung - Optimierung Mathematische Optimierung / Finanzmarkt Mathematisches Modell Finance Mathematical models Mathematical optimization Finanzierung Optimierung |
| url | http://www.ulb.tu-darmstadt.de/tocs/184578124.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017470156&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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