Optimization methods in finance /
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| Author / Creator: | Cornuejols, Gerard, 1950- |
|---|---|
| Imprint: | Cambridge, UK ; New York : Cambridge University Press, 2007. |
| Description: | xii, 345 p. : ill. ; 26 cm. |
| Language: | English |
| Series: | Mathematics, finance, and risk |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/6827757 |
Table of Contents:
- 1. Introduction
- 2. Linear programming: theory and algorithms
- 3. LP models: asset/liability cash flow matching
- 4. LP models: asset pricing and arbitrage
- 5. Nonlinear programming: theory and algorithms
- 6. NLP volatility estimation
- 7. Quadratic programming: theory and algorithms
- 8. QP models: portfolio optimization
- 9. Conic optimization tools
- 10. Conic optimization models in finance
- 11. Integer programming: theory and algorithms
- 12. IP models: constructing an index fund
- 13. Dynamic programming methods
- 14. DP models: option pricing
- 15. DP models: structuring asset backed securities
- 16. Stochastic programming: theory and algorithms
- 17. SP models: value-at-risk
- 18. SP models: asset/liability management
- 19. Robust optimization: theory and tools
- 20. Robust optimization models in finance
- Appendix A. Convexity
- Appendix B. Cones
- Appendix C. A probability primer
- Appendix D. The revised simplex method
- Bibliography
- Index
