Optimization Methods in Finance
List price: $103.00
Buy it from $63.23
This item qualifies for FREE shipping
*A minimum purchase of $35 is required. Shipping is provided via FedEx SmartPost® and FedEx Express Saver®. Average delivery time is 1 – 5 business days, but is not guaranteed in that timeframe. Also allow 1 - 2 days for processing. Free shipping is eligible only in the continental United States and excludes Hawaii, Alaska and Puerto Rico. FedEx service marks used by permission."Marketplace" orders are not eligible for free or discounted shipping.
30 day, 100% satisfaction guarantee
If an item you ordered from TextbookRush does not meet your expectations due to an error on our part, simply fill out a return request and then return it by mail within 30 days of ordering it for a full refund of item cost.
Learn more about our returns policy
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 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.
Rush Rewards U
You have reached 400 XP and carrot coins. That is the daily max!
Limited time offer:
Get the first one free!
All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $103.00
Copyright year: 2006
Publisher: Cambridge University Press
Publication date: 12/21/2006
Size: 7.00" wide x 9.75" long x 1.00" tall
Reha Tï¿½tï¿½ncï¿½ is a Vice President in the Quantitative Resources Group at Goldman Sachs Asset Management, New York.
|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|
|A probability primer|
|The revised simplex method|