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Optimization in Economics and Finance

2005-10-24 Business & Economics
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Release : 2005-10-24
Genre : Business & Economics
Kind : eBook
Book Rating : 805/5 ( reviews)

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Book Synopsis Optimization in Economics and Finance by : Bruce D. Craven

Download or read book Optimization in Economics and Finance written by Bruce D. Craven. This book was released on 2005-10-24. Available in PDF, EPUB and Kindle. Book excerpt: Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.

Numerical Methods and Optimization in Finance

2019-08-30
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Release : 2019-08-30
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Kind : eBook
Book Rating : 653/5 ( reviews)

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Book Synopsis Numerical Methods and Optimization in Finance by : Manfred Gilli

Download or read book Numerical Methods and Optimization in Finance written by Manfred Gilli. This book was released on 2019-08-30. Available in PDF, EPUB and Kindle. Book excerpt: Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems-ranging from asset allocation to risk management and from option pricing to model calibration-can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes two new chapters, a self-contained tutorial on implementing and using heuristics, and an explanation of software used for testing portfolio-selection models. Postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks and other financial companies can benefit from this second edition of Numerical Methods and Optimization in Finance. Introduces numerical methods to readers with economics backgrounds Emphasizes core simulation and optimization problems Includes MATLAB and R code for all applications, with sample code in the text and freely available for download

Optimization Methods in Finance

2006-12-21 Mathematics
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Release : 2006-12-21
Genre : Mathematics
Kind : eBook
Book Rating : 700/5 ( reviews)

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Book Synopsis Optimization Methods in Finance by : Gerard Cornuejols

Download or read book Optimization Methods in Finance written by Gerard Cornuejols. This book was released on 2006-12-21. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Optimization in Economics and Finance

2005 Business & Economics
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Release : 2005
Genre : Business & Economics
Kind : eBook
Book Rating : 798/5 ( reviews)

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Book Synopsis Optimization in Economics and Finance by : Bruce D. Craven

Download or read book Optimization in Economics and Finance written by Bruce D. Craven. This book was released on 2005. Available in PDF, EPUB and Kindle. Book excerpt: Extends the optimization techniques, in a form that may be adopted for modeling social choice problems. The models in this book provide possible models for a society's social choice for an allocation that maximizes welfare and utilization of resources. A computer program SCOM is presented here for computing social choice models by optimal control.

Stochastic Optimization Models in Finance

2006 Business & Economics
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Release : 2006
Genre : Business & Economics
Kind : eBook
Book Rating : 00X/5 ( reviews)

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Book Synopsis Stochastic Optimization Models in Finance by : William T. Ziemba

Download or read book Stochastic Optimization Models in Finance written by William T. Ziemba. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt: A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.

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