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010 _a 2007295301
011 _aBIB MATCHES WORLDCAT
020 _a0521861705
_qhbk.
020 _a9780521861700
_qhbk.
035 _a(ATU)b11265528
035 _a(DLC) 2007295301
035 _a(OCoLC)71347552
040 _aDLC
_beng
_erda
_dATU
050 0 0 _aHG106
_b.C67 2007
082 0 0 _a332.015195
_222
100 1 _aCornuejols, Gerard,
_d1950-
_eauthor.
_9435820
245 1 0 _aOptimization methods in finance /
_cGerard Cornuejols, Reha Tütüncü.
264 1 _aCambridge, UK ;
_aNew York :
_bCambridge University Press,
_c2007.
300 _axii, 345 pages :
_billustrations ;
_c26 cm.
336 _atext
_btxt
_2rdacontent
337 _aunmediated
_bn
_2rdamedia
338 _avolume
_bnc
_2rdacarrier
490 1 _aMathematics, finance, and risk
504 _aIncludes bibliographical references (pages 338-341) and index.
505 0 0 _g1.
_tIntroduction --
_g2.
_tLinear programming : theory and algorithms --
_g3.
_tLP models : asset/liability cash-flow matching --
_g4.
_tLP models : asset pricing and arbitrage --
_g5.
_tNonlinear programming : theory and algorithms --
_g6.
_tNLP models : volatility estimation --
_g7.
_tQuadratic programming : theory and algorithms --
_g8.
_tQP models : portfolio optimization --
_g9.
_tConic optimization tools --
_g10.
_tConic optimization models in finance --
_g11.
_tInteger programming : theory and algorithms --
_g12.
_tInteger programming models : constructing an index fund --
_g13.
_tDynamic programming methods --
_g14.
_tDP models : option pricing --
_g15.
_tDP models : structuring asset-backed securities --
_g16.
_tStochastic programming : theory and algorithms --
_g17.
_tStochastic programming models : value-at-risk and conditional value-at-risk --
_g18.
_tStochastic programming models : asset/liability management --
_g19.
_tRobust optimization : theory and tools --
_g20.
_tRobust optimization models in finance --
_gApp. A.
_tConvexity --
_gApp. B.
_tCones --
_gApp. C.
_tA probability primer --
_gApp. D.
_tThe revised simplex method.
520 _a"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."--Publisher description.
588 _aMachine converted from AACR2 source record.
650 0 _aFinance
_xMathematical models
_9370807
650 0 _aMathematical optimization
_9320544
700 1 _aTütüncü, Reha,
_eauthor.
_91211907
830 0 _aMathematics, finance, and risk.
_91054152
907 _a.b11265528
_b26-03-18
_c27-10-15
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