Optimization methods in finance / Gerard Cornuejols, Reha Tütüncü.

Format:

Book

Author/Creator:

Cornuejols, Gerard, 1950- author.

Tütüncü, Reha, author.

Series:

Mathematics, finance, and risk ; 5.

Mathematics, finance, and risk ; 5

Language:

English

Subjects (All):

Finance--Mathematical models.

Mathematical optimization.

Physical Description:

1 online resource (xii, 345 pages) : digital, PDF file(s).

Place of Publication:

Cambridge : Cambridge University Press, 2007.

Language Note:

English

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.

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.

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Includes bibliographical references and index.

ISBN:

1-107-16829-5

1-139-63738-X

1-280-74928-8

0-511-26071-7

0-511-26128-4

0-511-25948-4

0-511-32005-1

0-511-75388-8

0-511-26015-6