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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, UK ; New York :
Cambridge University Press,
©2007.
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| Colección: | Mathematics, finance, and risk.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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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| Descripción Física: | 1 online resource (xii, 345 pages) : illustrations |
| Bibliografía: | 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 |