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Synopsis
This textbook 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.
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About the Authors
Gerard Cornuejols is an IBM University Professor of Operations Research at theTepper School of Business, Carnegie Mellon University.
Reha Tütüncü is a Vice President in the Quantitative Resources Group at Goldman Sachs Asset Management, New York.
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Optimization Methods in Finance (Mathematics, Finance and Risk)
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Cambridge University Press, 2007
ISBN 10: 0521861705
ISBN 13: 9780521861700
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Optimization Methods in Finance
Published by
Cambridge University Press, Cambridge, 2007
ISBN 10: 0521861705
ISBN 13: 9780521861700
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Optimization Methods in Finance (Mathematics, Finance and Risk, Series Number 5)
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Optimization Methods in Finance (Mathematics, Finance and Risk, Series Number 5)
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Optimization Methods in Finance (Mathematics, Finance and Risk, Series Number 5)
Published by
Cambridge University Press, 2007
ISBN 10: 0521861705
ISBN 13: 9780521861700
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Optimization Methods in Finance (Mathematics, Finance and Risk, Series Number 5)
Published by
Cambridge University Press, 2007
ISBN 10: 0521861705
ISBN 13: 9780521861700
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