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Mathematics, Finance and Risk Ser.: Optimization Methods in Finance by Reha Tütüncü and Gérard Cornuéjols (2006, Hardcover)

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OPTIMIZATION METHODS IN FINANCE (MATHEMATICS, FINANCE AND RISK) By Gerard Cornuejols, Reha Tütüncü - Hardcover **Mint Condition**.

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Product Information

Graduate textbook which applies recent advances in optimization methods to solve practical problems in mathematical finance.

Product Identifiers

Publisher
Cambridge University Press
ISBN-10
0521861705
ISBN-13
9780521861700
eBay Product ID (ePID)
52175971

Product Key Features

Author
Reha Tütüncü, Gérard Cornuéjols
Publication Name
Optimization Methods in Finance
Format
Hardcover
Language
English
Series
Mathematics, Finance and Risk Ser.
Publication Year
2006
Type
Textbook
Number of Pages
358 Pages

Dimensions

Item Length
10in
Item Height
0.9in
Item Width
7in
Item Weight
27.3 Oz

Additional Product Features

Series Volume Number
Series Number 5
Lc Classification Number
Hg173
Reviews
"This book will be useful as a textbook for students in financial engineering at the MS level.... The book will also be of interest to researchers and graduate students in optimization who are interested in applications of optimization to financial problems."Brian Borchers, Journal of Online Mathematics and its Applications, "This book will be useful as a textbook for students in financial engineering at the MS level.... The book will also be of interest to researchers and graduate students in optimization who are interested in applications of optimization to financial problems." Brian Borchers, Journal of Online Mathematics and its Applications, 'This book would certainly appeal to someone with a mathematical background, perhaps in operations research, wishing to update and apply their knowledge to the financial world.' Mathematics TODAY
Table of Content
1. Introduction; 2. Linear programming: theory and algorithms; 3. LP models: asset/liability cash flow matching; 4. LP models: asset pricing and arbitrage; 5. Nonlinear programming: theory and algorithms; 6. NLP volatility estimation; 7. Quadratic programming: theory and algorithms; 8. QP models: portfolio optimization; 9. Conic optimization tools; 10. Conic optimization models in finance; 11. Integer programming: theory and algorithms; 12. IP models: constructing an index fund; 13. Dynamic programming methods; 14. DP models: option pricing; 15. DP models: structuring asset backed securities; 16. Stochastic programming: theory and algorithms; 17. SP models: value-at-risk; 18. SP models: asset/liability management; 19. Robust optimization: theory and tools; 20. Robust optimization models in finance; Appendix A. Convexity; Appendix B. Cones; Appendix C. A probability primer; Appendix D. The revised simplex method; Bibliography; Index.
Copyright Date
2006
Target Audience
Scholarly & Professional
Topic
Finance / Financial Engineering, Applied
Lccn
2007-295301
Dewey Decimal
332.01/5195
Dewey Edition
22
Illustrated
Yes
Genre
Business & Economics, Mathematics

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item 1 Optimization Methods in Finance by Cornuejols, Gerard; Tütüncü, Reha
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item 2 Optimization Methods in Finance (Mathematics, Finance and Risk, Series Number 5,
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item 3 OPTIMIZATION METHODS IN FINANCE (MATHEMATICS, FINANCE AND By Gerard Cornuejols
$72.95
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Picture 1 of 1

Mathematics, Finance and Risk Ser.: Optimization Methods in Finance by Reha Tütüncü and Gérard Cornuéjols (2006, Hardcover)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

All listings for this product

item 1 Optimization Methods in Finance by Cornuejols, Gerard; Tütüncü, Reha

item 2 Optimization Methods in Finance (Mathematics, Finance and Risk, Series Number 5,

item 3 OPTIMIZATION METHODS IN FINANCE (MATHEMATICS, FINANCE AND By Gerard Cornuejols

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