（好书推荐）Optimization Methods in Finance

最新推荐文章于 2018-11-04 19:10:55 发布

aris_zzy

最新推荐文章于 2018-11-04 19:10:55 发布

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分类专栏：金融理论文章标签： optimization methods integer 金融优化百度

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Optimization Methods in Finance

希望更多的优化方法能应用到金融中来……

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.

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