Optimization Methods in Finance

Cornuejols, Gerard/ Pena, Javier/ Tutuncu, Reha

ISBN 10: 1107056748 / ISBN 13: 9781107056749

Published by Cambridge Univ Pr, 2018

About this Item

2nd edition. 337 pages. 9.75x7.00x1.00 inches. In Stock. Seller Inventory # __1107056748

Bibliographic Details

Title: Optimization Methods in Finance

Publisher: Cambridge Univ Pr

Publication Date: 2018

Binding: Hardcover

Condition: Brand New

Edition: 2nd Edition

About this title

Synopsis:

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.

Book Description:

This is a thorough treatment of optimization techniques that solve central challenges in finance. It gives a complete picture of model formulation, gathering relevant data, and computational implementation for each problem discussed. Theory and practical applications are woven together and enriched with worked examples, exercises, and case studies.