Optimization Methods in Finance

CORNUEJOLS, Gerard and TUTUNCU, Reha

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ISBN 10: 0521861705 ISBN 13: 9780521861700

Published by Cambridge University Press, Cambridge, 2007

Language: English

Condition: Used - Fine Hardcover

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xx + 345 pages, 8vo, glossy printed boards. Cambridge: Cambridge University Press, (2007). A fine copy.

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Bibliographic Details

Title

Optimization Methods in Finance

Publisher

Cambridge University Press, Cambridge

Publication Date

2007

Language

English

ISBN 10

0521861705

ISBN 13

9780521861700

Binding

hardcover

Condition

fine

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About this title

Synopsis

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.

About the Authors

Gerard Cornuejols is an IBM University Professor of Operations Research at theTepper School of Business, Carnegie Mellon University.

Reha T�t�nc� is a Vice President in the Quantitative Resources Group at Goldman Sachs Asset Management, New York.

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