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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.

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

2018-08-09 Business & Economics
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Release : 2018-08-09
Genre : Business & Economics
Kind : eBook
Book Rating : 748/5 ( reviews)

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Book Synopsis Optimization Methods in Finance by : Gérard Cornuéjols

Download or read book Optimization Methods in Finance written by Gérard Cornuéjols. This book was released on 2018-08-09. Available in PDF, EPUB and Kindle. Book excerpt: Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance.

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.

Simulation and Optimization in Finance

2010-09-23 Business & Economics
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Release : 2010-09-23
Genre : Business & Economics
Kind : eBook
Book Rating : 123/5 ( reviews)

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Book Synopsis Simulation and Optimization in Finance by : Dessislava A. Pachamanova

Download or read book Simulation and Optimization in Finance written by Dessislava A. Pachamanova. This book was released on 2010-09-23. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities Includes models and code in both spreadsheet-based software (@RISK, Solver, Evolver, VBA) and mathematical modeling software (MATLAB) Filled with in-depth insights and practical advice, Simulation and Optimization Modeling in Finance offers essential guidance on some of the most important topics in financial management.

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