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005 | 20221115154221.0 | ||
008 | 070126s2007 enka b 001 0 eng d | ||
010 | _a 2007295301 | ||
011 | _aBIB MATCHES WORLDCAT | ||
020 |
_a0521861705 _qhbk. |
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020 |
_a9780521861700 _qhbk. |
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035 | _a(ATU)b11265528 | ||
035 | _a(DLC) 2007295301 | ||
035 | _a(OCoLC)71347552 | ||
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_aDLC _beng _erda _dATU |
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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. |
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300 |
_axii, 345 pages : _billustrations ; _c26 cm. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_aunmediated _bn _2rdamedia |
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338 |
_avolume _bnc _2rdacarrier |
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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. | ||
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_aFinance _xMathematical models _9370807 |
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_aMathematical optimization _9320544 |
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700 | 1 |
_aTütüncü, Reha, _eauthor. _91211907 |
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830 | 0 |
_aMathematics, finance, and risk. _91054152 |
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