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...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Cornuejols, Gerard, 1950-
Otros Autores: Tütüncü, Reha
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK ; New York : Cambridge University Press, ©2007.
Colección:Mathematics, finance, and risk.
Temas:
Finance > Mathematical models.
Mathematical optimization.
Finances > Modèles mathématiques.
Optimisation mathématique.
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Mathematical optimization
Finanzmathematik
Finanzierung
Optimierung
Beleggingen.
Financiën.
Besliskunde.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

Ejemplares similares