Optimization methods in finance:
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 discus...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2007
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| Series: | Mathematics, finance, and risk
5 |
| Subjects: | |
| Online Access: | BSB01 FHN01 Volltext |
| Summary: | 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 |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xii, 345 pages) |
| ISBN: | 9780511753886 |
| DOI: | 10.1017/CBO9780511753886 |
Staff View
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| 520 | |a 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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| author | Cornuéjols, Gérard 1950- |
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| contents | Introduction -- Linear programming : theory and algorithms -- LP models : asset/liability cash-flow matching -- LP models : asset pricing and arbitage -- Nonlinear programming : theory and algorithms -- NLP models : volatility estimation -- Quadratic programming : theory and algorithms -- QP models : portfolio optimization -- Conic optimization tools -- Conic optimization models in finance -- Integer programming : theory and algorithms -- Integer programming models : constructing an index fund -- Dynamic programming methods -- DP models : option pricing -- DP models : structuring asset-backed securities -- Stochastic programming : theory and algorithms -- Stochastic programming models : value-at-risk and conditional value-at-risk -- Stochastic programming models : asset/liability management -- Robust optimization : theory and tools -- Robust optimization models in finance |
| ctrlnum | (ZDB-20-CBO)CR9780511753886 (OCoLC)850380266 (DE-599)BVBBV043940609 |
| dewey-full | 332.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5195 |
| dewey-search | 332.01/5195 |
| dewey-sort | 3332.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511753886 |
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| id | DE-604.BV043940609 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:13Z |
| institution | BVB |
| isbn | 9780511753886 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029349579 |
| oclc_num | 850380266 |
| open_access_boolean | |
| owner | DE-12 DE-92 |
| owner_facet | DE-12 DE-92 |
| physical | 1 online resource (xii, 345 pages) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO FHN_PDA_CBO |
| publishDate | 2007 |
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| publisher | Cambridge University Press |
| record_format | marc |
| series2 | Mathematics, finance, and risk |
| spelling | Cornuéjols, Gérard 1950- Verfasser (DE-588)121146855 aut Optimization methods in finance Gerard Cornuejols, Reha Tütüncü Cambridge Cambridge University Press 2007 1 online resource (xii, 345 pages) txt rdacontent c rdamedia cr rdacarrier Mathematics, finance, and risk 5 Title from publisher's bibliographic system (viewed on 05 Oct 2015) Introduction -- Linear programming : theory and algorithms -- LP models : asset/liability cash-flow matching -- LP models : asset pricing and arbitage -- Nonlinear programming : theory and algorithms -- NLP models : volatility estimation -- Quadratic programming : theory and algorithms -- QP models : portfolio optimization -- Conic optimization tools -- Conic optimization models in finance -- Integer programming : theory and algorithms -- Integer programming models : constructing an index fund -- Dynamic programming methods -- DP models : option pricing -- DP models : structuring asset-backed securities -- Stochastic programming : theory and algorithms -- Stochastic programming models : value-at-risk and conditional value-at-risk -- Stochastic programming models : asset/liability management -- Robust optimization : theory and tools -- Robust optimization models in finance 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 Mathematisches Modell Finance / Mathematical models Mathematical optimization Optimierung (DE-588)4043664-0 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Optimierung (DE-588)4043664-0 s 1\p DE-604 Tütüncü, Reha Sonstige (DE-588)140965920 oth Erscheint auch als Druckausgabe 978-0-521-86170-0 https://doi.org/10.1017/CBO9780511753886 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Cornuéjols, Gérard 1950- Optimization methods in finance Introduction -- Linear programming : theory and algorithms -- LP models : asset/liability cash-flow matching -- LP models : asset pricing and arbitage -- Nonlinear programming : theory and algorithms -- NLP models : volatility estimation -- Quadratic programming : theory and algorithms -- QP models : portfolio optimization -- Conic optimization tools -- Conic optimization models in finance -- Integer programming : theory and algorithms -- Integer programming models : constructing an index fund -- Dynamic programming methods -- DP models : option pricing -- DP models : structuring asset-backed securities -- Stochastic programming : theory and algorithms -- Stochastic programming models : value-at-risk and conditional value-at-risk -- Stochastic programming models : asset/liability management -- Robust optimization : theory and tools -- Robust optimization models in finance Mathematisches Modell Finance / Mathematical models Mathematical optimization Optimierung (DE-588)4043664-0 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4043664-0 (DE-588)4017182-6 |
| 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 | Mathematisches Modell Finance / Mathematical models Mathematical optimization Optimierung (DE-588)4043664-0 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Mathematisches Modell Finance / Mathematical models Mathematical optimization Optimierung Finanzierung |
| url | https://doi.org/10.1017/CBO9780511753886 |
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