Optimization Methods in Finance Hardback (Mathematics, Finance and Risk, Series Number 5) - Hardcover

Cornuejols; Tutuncu

Hardcover

ISBN 10: 0521861705 ISBN 13: 9780521861700

Verlag: Cambridge University Press, 2006

Inhaltsangabe

This textbook 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.

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Críticas

'This book will be useful as a textbook for students in financial engineering at the MS level. ... The book will also be of interest to researchers and graduate students in optimization who are interested in applications of optimization to financial problems.' Brian Borchers, Journal of Online Mathematics and its Applications

'This book would certainly appeal to someone with a mathematical background, perhaps in operations research, wishing to update and apply their knowledge to the financial world.' Mathematics TODAY

'Until now, there has been no comprehensive optimization book aimed at quantitative analysts in the financial industry. The book by Cornuejols and Tutuncu fills this void ... an excellent source for quantitative financial analysts and graduate students to learn about basic optimization theory, computational methods, and available software. At the same time, it can be used by academic researchers and students in optimization as an introduction to various interesting problems in financial applications.' International Review of Economics & Finance

Biografía del autor

Gerard Cornuejols is an IBM University Professor of Operations Research at theTepper School of Business, Carnegie Mellon University.

Reha Tütüncü is a Vice President in the Quantitative Resources Group at Goldman Sachs Asset Management, New York.

Details zur Ausgabe

• Verlag: Cambridge University Press
• Erscheinungsdatum: 2006
• ISBN 10: 0521861705
• ISBN 13: 9780521861700
• Einband: Tapa dura
• Sprache: Englisch
• Anzahl der Seiten: 358