Cornuejols, Gerard 1950-
Optimization methods in finance Gerard Cornuejols, Reha Tütüncü. - xii, 345 páginas ilustrado 26 cm. - Mathematics, finance and risk .
Incluye referencias bibliográficas (p. 338-341) e índice.
Introduction -- Linear programming: theory and algorithms -- LP models: asset/liability cash-flow matching -- LP models: asset pricing and arbitrage -- Nonlinear programming: theory and algorithms -- NLP models: volatility estimation -- Quadratic programming: theory and algorithms -- QP models: portfolio optimization -- Conic optimization tools -- Conic optimization models in finance -- Interger programming: theory and algorithms -- Integer programming models: constructing an index fund -- Dynamic programming methods -- DP models: option pricing -- DP models: structuring asset-backed securities -- Stochastic programming: theory and algorithms -- Stochastic programming models: Value-at-risk and conditional value-at-risk -- Stochastic programming models: asset/liability management -- Robust optimization: theory and tools -- Robust optimization models in finance -- Appendix A. Convexity -- Appendix B. Cones -- Appendix C. A probability primer -- Appendix D. The revised simplex method
0521861705 9780521861700
Finance--Mathematical models.
Mathematical optimization
Finanzas--Modelo matemático
Optimizacion matematica
332.015195 / C819o
Optimization methods in finance Gerard Cornuejols, Reha Tütüncü. - xii, 345 páginas ilustrado 26 cm. - Mathematics, finance and risk .
Incluye referencias bibliográficas (p. 338-341) e índice.
Introduction -- Linear programming: theory and algorithms -- LP models: asset/liability cash-flow matching -- LP models: asset pricing and arbitrage -- Nonlinear programming: theory and algorithms -- NLP models: volatility estimation -- Quadratic programming: theory and algorithms -- QP models: portfolio optimization -- Conic optimization tools -- Conic optimization models in finance -- Interger programming: theory and algorithms -- Integer programming models: constructing an index fund -- Dynamic programming methods -- DP models: option pricing -- DP models: structuring asset-backed securities -- Stochastic programming: theory and algorithms -- Stochastic programming models: Value-at-risk and conditional value-at-risk -- Stochastic programming models: asset/liability management -- Robust optimization: theory and tools -- Robust optimization models in finance -- Appendix A. Convexity -- Appendix B. Cones -- Appendix C. A probability primer -- Appendix D. The revised simplex method
0521861705 9780521861700
Finance--Mathematical models.
Mathematical optimization
Finanzas--Modelo matemático
Optimizacion matematica
332.015195 / C819o