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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.
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Poemas de Fe Y Esperanza
Daniel Payan; Cover design or artwork by Javier Pena; Compiled by Victoria Payan
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R489
Discovery Miles 4 890
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Ships in 10 - 15 working days
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