Hidden Bibliographic Details
| Other authors / contributors: | Tütüncü, Reha.
|
|---|
| ISBN: | 9780511261282
0511261284
0511258186
9780511258183
0511260717
9780511260711
9780511753886
0511753888
1107168295
9781107168299
1280749288
9781280749285
0511320051
9780511320057
0511260156
9780511260155
9786610749287
6610749280
0511259484
9780511259487
0521861705
9780521861700
|
|---|
| Notes: | Includes bibliographical references (pages 338-341) and index.
English.
Print version record.
|
|---|
| 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.
|
|---|
| Other form: | Print version: Cornuejols, Gerard, 1950- Optimization methods in finance. Cambridge, UK ; New York : Cambridge University Press, ©2007 0521861705 9780521861700
|
|---|
