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Optimization Methods in Finance.

Cornuejols, Gerard.

Optimization Methods in Finance.

紀錄類型:	書目-電子資源 : 單行本
正題名/作者:	Optimization Methods in Finance./
作者:	Cornuejols, Gerard.
其他作者:	Tutuncu, Reha.
出版者:	Leiden :Cambridge University Press, : 2006.,
面頁冊數:	359 p.
標題:	Finance. -
電子資源:	Click here to view book
ISBN:	9780511753886 (electronic bk.)

Optimization Methods in Finance.
Cornuejols, Gerard.

Optimization Methods in Finance.[electronic resource]. - Leiden :Cambridge University Press,2006. - 359 p.

Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Foreword; 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 models: 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 Integer programming models: constructing an index fund

Discusses optimization problems encountered in financial models, describes the relevant theory and efficient solution methods, and shows how to apply them to practical problems in mathematical finance. Based on a successful course at CMU, the text is class-tested and meets the need for a textbook aimed at financial applications.

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511753886 (electronic bk.)Subjects--Topical Terms:

131585
Finance.
Index Terms--Genre/Form:

96803
Electronic books.

LC Class. No.: HG106 .C67 2007eb

Dewey Class. No.: 332.015196

Optimization Methods in Finance.
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245 1 0 $a Optimization Methods in Finance. $h [electronic resource].
260 $a Leiden : $c 2006. $b Cambridge University Press,
300 $a 359 p.
505 0 $a Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Foreword; 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 models: 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 Integer programming models: constructing an index fund
505 8 $a 13 Dynamic programming methods14 DP models: option pricing; 15 DP models: structuring asset-backed securities; 16 Stochastic programming: theory and algorithms; 17 Stochastic programming models: Value-at-Risk and Conditional Value-at-Risk; 18 Stochastic programming 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 probabil
520 $a Discusses optimization problems encountered in financial models, describes the relevant theory and efficient solution methods, and shows how to apply them to practical problems in mathematical finance. Based on a successful course at CMU, the text is class-tested and meets the need for a textbook aimed at financial applications.
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
650 4 $a Finance. $3 131585
655 7 $a Electronic books. $2 local. $3 96803
700 1 $a Tutuncu, Reha. $3 278331
710 2 $a Ebooks Corporation. $3 197505
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856 4 0 $z Click here to view book $u http://ebooks.cambridge.org/ebook.jsf?bid=CBO9780511753886

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