Optimization Methods in Finance (Hardcover, 2nd Revised edition)

Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean-variance portfolio optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students, academics, and practitioners with a background in mathematics, operations research, or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of mean-variance optimization, multi-period models, and additional material to highlight the relevance to finance.

General

Imprint:	Cambridge UniversityPress
Country of origin:	United Kingdom
Release date:	July 2018
Authors:	Gerard Cornuejols • Javier Pena • Reha Tutuncu
Dimensions:	252 x 178 x 21mm (L x W x T)
Format:	Hardcover
Pages:	348
Edition:	2nd Revised edition
ISBN-13:	978-1-107-05674-9
Categories:	Books > Reference & Interdisciplinary > Communication studies > Decision theory > Risk assessment Books > Business & Economics > Finance & accounting > Finance > General Books > Business & Economics > Business & management > Business mathematics & systems > General Books > Science & Mathematics > Mathematics > Optimization > General Books > Science & Mathematics > Mathematics > Applied mathematics > General Books > Money & Finance > General Promotions
LSN:	1-107-05674-8
Barcode:	9781107056749

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