Description: Optimization Methods in Finance (Mathematics, Finance and Risk)Gérard Cornuéjols, Javier Peña, Reha Tütüncü Cambridge University Press Hardcover Unused and unread, minor cosmetic imperfections such as scuffing or minor creasing. Stamped 'damaged' by publisher to a non-text page. EAN: 9781107056749 Published: 09/08/2018 Language: English Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean–variance portfolio optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students, academics, and practitioners with a background in mathematics, operations research, or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of mean–variance optimization, multi-period models, and additional material to highlight the relevance to finance. Part I. Introduction 1. Overview of optimization models 2. Linear programming theory and algorithms 3. Linear programming models asset-liability management 4. Linear programming models arbitrage and asset pricing Part II. Single-Period Models 5. Quadratic programming theory and algorithms 6. Quadratic programming models mean-variance optimization 7. Sensitivity of mean-variance models to input estimation 8. Mixed integer programming theory and algorithms 9. Mixed integer programming models portfolios with combinatorial constraints 10. Stochastic programming theory and algorithms 11. Stochastic programming models risk measures Part III. Multi-Period Models 12. Multi-period models simple examples 13. Dynamic programming theory and algorithms 14. Dynamic programming models multi-period portfolio optimization 15. Dynamic programming models the binomial pricing model 16. Multi-stage stochastic programming 17. Stochastic programming models asset-liability management Part IV. Other Optimization Techniques 18. Conic programming theory and algorithms 19. Robust optimization 20. Nonlinear programming theory and algorithms Appendix References Index. DispatchIn stock here - same-day dispatch from England. My SKU: 3258760RefundsNo-hassle refunds are always available if your book is not as expected.Terms and Conditions of SaleSorry - no collections. All sales are subject to extended Terms and Conditions of Sale as well as the Return Policy and Payment Instructions. Visit my eBay Store for details andmany more books. Template layout and design, "JNC Academic Books", "needbooks", Copyright © JNC INC. Designated trademarks, layouts and brands are the property of their respective owners. All Rights Reserved.
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Subject Area: Assessment
Item Height: 253mm
Item Width: 178mm
Author: Reha Tutuncu, Gerard Cornuejols, Javier Pena
Publication Name: Optimization Methods in Finance
Format: Hardcover
Language: English
Publisher: Cambridge University Press
Subject: Finance, Mathematics, Business
Publication Year: 2018
Type: Textbook
Item Weight: 830g
Number of Pages: 348 Pages
