Optimization Methods in Finance

Name: Optimization Methods in Finance
Price: 29.06 USD
Availability: InStock
ISBN: 9780521861700

ISBN-10: 0521861705

ISBN-13: 9780521861700

Edition: 2006

Authors: Gï¿½rard Cornuï¿½jols, Reha Tï¿½tï¿½ncï¿½, Mark Broadie, Sam Howison, Neil Johnson

List price: $89.99

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Description:

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…

Book details

List price: $89.99
Copyright year: 2006
Publisher: Cambridge University Press
Publication date: 12/21/2006
Binding: Hardcover
Pages: 358
Size: 7.00" wide x 9.75" long x 1.00" tall
Weight: 1.694
Language: English

Reha Tï¿½tï¿½ncï¿½ is a Vice President in the Quantitative Resources Group at Goldman Sachs Asset Management, New York.




Introduction



Linear programming: theory and algorithms



LP models: asset/liability cash flow matching



LP models: asset pricing and arbitrage



Nonlinear programming: theory and algorithms



NLP volatility estimation



Quadratic programming: theory and algorithms



QP models: portfolio optimization



Conic optimization tools



Conic optimization models in finance



Integer programming: theory and algorithms



IP models: constructing an index fund



Dynamic programming methods



DP models: option pricing



DP models: structuring asset backed securities



Stochastic programming: theory and algorithms



SP models: value-at-risk



SP models: asset/liability management



Robust optimization: theory and tools



Robust optimization models in finance



Convexity



Cones



A probability primer



The revised simplex method


Bibliography


Index