tailieunhanh - Optimization Methods in Finance

Tham khảo sách 'optimization methods in finance', kinh doanh - tiếp thị, quản trị kinh doanh phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | optimization Methods In Finance Gf rad corrueo and ftWu laiflftiG Optimization Methods in Finance Gerard CORNUEJOLS Reha Tutuncu Carnegie Mellon University Pittsburgh PA 15213 USA January 2006 2 Foreword Optimization models play an increasingly important role in financial decisions. Many computational finance problems ranging from asset allocation to risk management from option pricing to model calibration can be solved efficiently using modern optimization techniques. This course discusses several classes of optimization problems including linear quadratic integer dynamic stochastic conic and robust programming encountered in financial models. For each problem class after introducing the relevant theory optimality conditions duality etc. and efficient solution methods we discuss several problems of mathematical finance that can be modeled within this problem class. In addition to classical and well-known models such as Markowitz mean-variance optimization model we present some newer optimization models for a variety of financial problems. Acknowledgements This book has its origins in courses taught at Carnegie Mellon University in the Masters program in Computational Finance and in the MBA program at the Tepper School of Business Gerard Cornuejols and at the Tokyo Institute of Technology Japan and the University of Coimbra Portugal Reha Tutuncu . We thank the attendants of these courses for their feedback and for many stimulating discussions. We would also like to thank the colleagues who provided the initial impetus for this project especially Michael Trick John Hooker Sanjay Srivastava Rick Green Yanjun Li Luis Vicente and Masakazu Kojima. Various drafts of this book were experimented with in class by Javier Pena Francois Margot Miroslav Karamanov and Kathie Cameron and we thank them for their .

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