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Optimization Methods in Finance (Mathematics, Finance and Risk)
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Binding: Hardcover
Dewey Decimal Number: 332.015195
EAN: 9780521861700
ISBN: 0521861705
Label: Cambridge University Press
Manufacturer: Cambridge University Press
Number Of Items: 1
Number Of Pages: 358
Publication Date: January 08, 2007
Publisher: Cambridge University Press
Studio: Cambridge University Press
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Editorial Review:
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.
Discusses optimization problems encountered in financial models, describes the relevant theory and efficient solution methods, and shows how to apply them to practical problems in mathematical finance. Based on a successful course at CMU, the text is class-tested and meets the need for a textbook aimed at financial applications.
Customer Reviews
Average Rating: 
Rating:  - Wonderful book with lots of financial applications
This book is very well-written with some theories and tons of financial applications. I hadn't thought that a GARCH model for estimating stochastic volatility can be seen as a nonlinear programming application. It touches some relatively modern/advanced topics such as robust optimization and cone optimization. It's just a wonderful optimization book for financial engineers and people in the financial industry.
Rating: - Modern view, balanced coverage of optimization methods for quantitative finance
This is a very up-to-date book featuring complete, balanced coverage of optimization methods used in quantitative finance. It should be a great resource for practitioners in financial engineering or portfolio management who need to know what methods to apply to different problems, and how to evaluate competing vendor claims, without going too deeply into the algorithmic details of each optimization method.
The book has 20 chapters that alternate between an overview of a class of optimization ... Read More
Rating:  - Review Optimization Methods in Finance
Good book, covers most standard optimization problems, quite applied. maybe a little bit expensive for what it is.
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