Optimization Methods in Finance by G?rard Cornu?jols (English) Hardcover Book

Description: Optimization Methods in Finance by Gérard Cornuéjols, Javier Peña, Reha TÜtÜncÜ This is a thorough treatment of optimization techniques that solve central challenges in finance. It gives a complete picture of model formulation, gathering relevant data, and computational implementation for each problem discussed. Theory and practical applications are woven together and enriched with worked examples, exercises, and case studies. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description 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. Author Biography Gérard Cornuéjols is a Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University, Pennsylvania. He is a member of the National Academy of Engineering and has received numerous prizes for his research contributions in integer programming and combinatorial optimization, including the Lanchester Prize, the Fulkerson Prize, the Dantzig Prize, and the von Neumann Theory Prize. Javier Peña is a Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University, Pennsylvania. His research explores the myriad of challenges associated with large-scale optimization models and he has published numerous articles on optimization, machine learning, financial engineering, and computational game theory. His research has been supported by grants from the National Science Foundation, including a prestigious CAREER award. Reha TÜtÜncÜ is the Chief Risk Officer at SECOR Asset Management and an adjunct professor at Carnegie Mellon University, Pennsylvania. He has previously held senior positions at Goldman Sachs Asset Management and AQR Capital Management focusing on quantitative portfolio construction, equity portfolio management, and risk management. Table of Contents Part I. Introduction: 1. Overview of optimization models; 2. Linear programming: theory and algorithms; 3. Linear programming models: asset-liability management; 4. Linear programming models: arbitrage and asset pricing; Part II. Single-Period Models: 5. Quadratic programming: theory and algorithms; 6. Quadratic programming models: mean-variance optimization; 7. Sensitivity of mean-variance models to input estimation; 8. Mixed integer programming: theory and algorithms; 9. Mixed integer programming models: portfolios with combinatorial constraints; 10. Stochastic programming: theory and algorithms; 11. Stochastic programming models: risk measures; Part III. Multi-Period Models: 12. Multi-period models: simple examples; 13. Dynamic programming: theory and algorithms; 14. Dynamic programming models: multi-period portfolio optimization; 15. Dynamic programming models: the binomial pricing model; 16. Multi-stage stochastic programming; 17. Stochastic programming models: asset-liability management; Part IV. Other Optimization Techniques: 18. Conic programming: theory and algorithms; 19. Robust optimization; 20. Nonlinear programming: theory and algorithms; Appendix; References; Index. Review Review of first edition: 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 ApplicationsReview of first edition: 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 TODAYReview of first edition: 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 Promotional Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance. Review Quote Review of first edition: 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 Promotional "Headline" Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance. Description for Bookstore This is a thorough treatment of optimization techniques that solve central challenges in finance. It gives a complete picture of model formulation, gathering relevant data, and computational implementation for each problem discussed. Theory and practical applications are woven together and enriched with worked examples, exercises, and case studies. Description for Library This is a thorough treatment of optimization techniques that solve central challenges in finance. It gives a complete picture of model formulation, gathering relevant data, and computational implementation for each problem discussed. Theory and practical applications are woven together and enriched with worked examples, exercises, and case studies. Details ISBN1107056748 ISBN-10 1107056748 ISBN-13 9781107056749 Format Hardcover Edition 2nd Imprint Cambridge University Press Place of Publication Cambridge Country of Publication United Kingdom Replaces 9780521861700 Publisher Cambridge University Press Pages 348 Year 2018 Publication Date 2018-08-09 DEWEY 332.015195 Language English UK Release Date 2018-08-09 AU Release Date 2018-08-09 NZ Release Date 2018-08-09 Illustrations Worked examples or Exercises; 13 Halftones, black and white; 21 Line drawings, black and white Author Reha TÜtÜncÜ Edition Description 2nd Revised edition Alternative 9781107297340 Audience Undergraduate We've got this At The Nile, if you're looking for it, we've got it. 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