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...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, UK ; New York :
Cambridge University Press,
©2007.
|
| Schriftenreihe: | Mathematics, finance, and risk.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xii, 345 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 338-341) and index. |
| ISBN: | 9780511261282 0511261284 0511258186 9780511258183 0511260717 9780511260711 9780511753886 0511753888 1107168295 9781107168299 1280749288 9781280749285 0511320051 9780511320057 0511260156 9780511260155 9786610749287 6610749280 |
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| 245 | 1 | 0 | |a Optimization methods in finance / |c Gerard Cornuejols, Reha Tütüncü. |
| 260 | |a Cambridge, UK ; |a New York : |b Cambridge University Press, |c ©2007. | ||
| 300 | |a 1 online resource (xii, 345 pages) : |b illustrations | ||
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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. | ||
| 505 | 0 | |a 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. | |
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| 650 | 0 | |a Mathematical optimization. |0 http://id.loc.gov/authorities/subjects/sh85082127 | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Optimisation mathématique. | |
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Datensatz im Suchindex
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| _version_ | 1816881651011026944 |
| adam_text | |
| any_adam_object | |
| author | Cornuejols, Gerard, 1950- |
| author2 | Tütüncü, Reha |
| author2_role | |
| author2_variant | r t rt |
| author_GND | http://id.loc.gov/authorities/names/n88605445 |
| author_facet | Cornuejols, Gerard, 1950- Tütüncü, Reha |
| author_role | |
| author_sort | Cornuejols, Gerard, 1950- |
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| collection | ZDB-4-EBA |
| 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 | (OCoLC)162144589 |
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| 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 | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn162144589 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:16:06Z |
| institution | BVB |
| isbn | 9780511261282 0511261284 0511258186 9780511258183 0511260717 9780511260711 9780511753886 0511753888 1107168295 9781107168299 1280749288 9781280749285 0511320051 9780511320057 0511260156 9780511260155 9786610749287 6610749280 |
| language | English |
| oclc_num | 162144589 |
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| physical | 1 online resource (xii, 345 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2007 |
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| publisher | Cambridge University Press, |
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| series | Mathematics, finance, and risk. |
| series2 | Mathematics, finance, and risk |
| spelling | Cornuejols, Gerard, 1950- http://id.loc.gov/authorities/names/n88605445 Optimization methods in finance / Gerard Cornuejols, Reha Tütüncü. Cambridge, UK ; New York : Cambridge University Press, ©2007. 1 online resource (xii, 345 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Mathematics, finance, and risk Includes bibliographical references (pages 338-341) and index. Print version record. 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. 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. English. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Mathematical optimization. http://id.loc.gov/authorities/subjects/sh85082127 Finances Modèles mathématiques. Optimisation mathématique. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Mathematical optimization fast Finanzmathematik gnd Finanzierung gnd http://d-nb.info/gnd/4017182-6 Optimierung gnd http://d-nb.info/gnd/4043664-0 Beleggingen. gtt Financiën. gtt Besliskunde. gtt Electronic book. Tütüncü, Reha. Print version: Cornuejols, Gerard, 1950- Optimization methods in finance. Cambridge, UK ; New York : Cambridge University Press, ©2007 0521861705 9780521861700 (DLC) 2007295301 (OCoLC)71347552 Mathematics, finance, and risk. http://id.loc.gov/authorities/names/n2003109480 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=179827 Volltext |
| spellingShingle | Cornuejols, Gerard, 1950- Optimization methods in finance / Mathematics, finance, and risk. 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. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Mathematical optimization. http://id.loc.gov/authorities/subjects/sh85082127 Finances Modèles mathématiques. Optimisation mathématique. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Mathematical optimization fast Finanzmathematik gnd Finanzierung gnd http://d-nb.info/gnd/4017182-6 Optimierung gnd http://d-nb.info/gnd/4043664-0 Beleggingen. gtt Financiën. gtt Besliskunde. gtt |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 http://id.loc.gov/authorities/subjects/sh85082127 http://d-nb.info/gnd/4017182-6 http://d-nb.info/gnd/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 | Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Mathematical optimization. http://id.loc.gov/authorities/subjects/sh85082127 Finances Modèles mathématiques. Optimisation mathématique. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Mathematical optimization fast Finanzmathematik gnd Finanzierung gnd http://d-nb.info/gnd/4017182-6 Optimierung gnd http://d-nb.info/gnd/4043664-0 Beleggingen. gtt Financiën. gtt Besliskunde. gtt |
| topic_facet | Finance Mathematical models. Mathematical optimization. Finances Modèles mathématiques. Optimisation mathématique. BUSINESS & ECONOMICS Finance. Finance Mathematical models Mathematical optimization Finanzmathematik Finanzierung Optimierung Beleggingen. Financiën. Besliskunde. Electronic book. |
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| work_keys_str_mv | AT cornuejolsgerard optimizationmethodsinfinance AT tutuncureha optimizationmethodsinfinance |