Jump to:Optimization Methods in Finance [Hardback]by G. Cornuejols and Reha Tutuncu
In stock, usually dispatched within 24 hours Description of Optimization Methods in FinanceOptimization 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.Title Information
Write a review of this book Customer Reviews from AmazonAbout G. Cornuejols and Reha TutuncuGerard Cornuejols is an IBM University Professor of Operations Research at theTepper School of Business, Carnegie Mellon University. Reha Tutuncu is a Vice President in the Quantitative Resources Group at Goldman Sachs Asset Management, New York. |
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