TY - BOOK ID - 25469910 TI - Optimization methods in finance AU - Cornuéjols, Gérard AU - Tütüncü, Reha PY - 2007 SN - 9780521861700 0521861705 9786610749287 9780511260711 0511260717 9780511753886 1107168295 113963738X 1280749288 0511261284 0511259484 0511320051 0511753888 0511260156 9780511261282 0511258186 9780511258183 9780511259487 9781107168299 9781280749285 9780511320057 9780511260155 6610749280 PB - Cambridge: Cambridge university press, DB - UniCat KW - Corporate finance KW - Operational research. Game theory KW - -Mathematical optimization KW - Finance KW - Mathematical optimization KW - lineaire algebra KW - lineaire programmering KW - mathematische modellen, toegepast op economie KW - stochastische processen KW - Optimization (Mathematics) KW - Optimization techniques KW - Optimization theory KW - Systems optimization KW - Mathematical analysis KW - Maxima and minima KW - Operations research KW - Simulation methods KW - System analysis KW - Mathematical models KW - Mathematical optimization. KW - Finances KW - Optimisation mathématique KW - Mathematical models. KW - Modèles mathématiques KW - Finance - Mathematical models KW - Mathematical Sciences KW - General and Others UR - https://www.unicat.be/uniCat?func=search&query=sysid:25469910 AB - 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. ER -