Optimization methods in finance Gerard Cornuejols, Reha Tütüncü.
By: Cornuejols, Gerard.
Contributor(s): Tütüncü, Reha.
Series: Mathematics, finance and risk.Cambridge, UK New York Cambridge University Press 2007Description: xii, 345 páginas ilustrado 26 cm.ISBN: 0521861705; 9780521861700.Subject(s): Finance -- Mathematical models | Mathematical optimization | Finanzas -- Modelo matemático | Optimizacion matematicaDDC classification: 332.015195 Online resources: Publisher description | Table of contents only | Contributor biographical informationItem type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Libros | Biblioteca Central | General | 332.015195 / C819o (Browse shelf) | Ej.1 | Available | 8000022253 |
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
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