{"product_id":"optimization-methods-in-finance-hardback-9781107056749","title":"Optimization Methods in Finance (Hardback) 9781107056749","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eOptimization Methods in Finance\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cem\u003eFull treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eGérard Cornuéjols (Author), Javier Peña (Author), Reha Tütüncü (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781107056749, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 9 August 2018\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e348 pages, 34 b\/w illus.  125 exercises\u003cbr\u003e25.3 x 17.8 x 2.1 cm, 0.83 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003eReview 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 \u0026amp; Finance\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eOptimization 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.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003ePart I. Introduction: 1. Overview of optimization models\u003cbr\u003e 2. Linear programming: theory and algorithms\u003cbr\u003e 3. Linear programming models: asset-liability management\u003cbr\u003e 4. Linear programming models: arbitrage and asset pricing\u003cbr\u003e Part II. Single-Period Models: 5. Quadratic programming: theory and algorithms\u003cbr\u003e 6. Quadratic programming models: mean-variance optimization\u003cbr\u003e 7. Sensitivity of mean-variance models to input estimation\u003cbr\u003e 8. Mixed integer programming: theory and algorithms\u003cbr\u003e 9. Mixed integer programming models: portfolios with combinatorial constraints\u003cbr\u003e 10. Stochastic programming: theory and algorithms\u003cbr\u003e 11. Stochastic programming models: risk measures\u003cbr\u003e Part III. Multi-Period Models: 12. Multi-period models: simple examples\u003cbr\u003e 13. Dynamic programming: theory and algorithms\u003cbr\u003e 14. Dynamic programming models: multi-period portfolio optimization\u003cbr\u003e 15. Dynamic programming models: the binomial pricing model\u003cbr\u003e 16. Multi-stage stochastic programming\u003cbr\u003e 17. Stochastic programming models: asset-liability management\u003cbr\u003e Part IV. Other Optimization Techniques: 18. Conic programming: theory and algorithms\u003cbr\u003e 19. Robust optimization\u003cbr\u003e 20. Nonlinear programming: theory and algorithms\u003cbr\u003e Appendix\u003cbr\u003e References\u003cbr\u003e Index.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Applied mathematics [\u003ca title=\"See our other books on Applied mathematics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Applied%20mathematics%20%5BPBW%5D%22\"\u003ePBW\u003c\/a\u003e], Optimization [\u003ca title=\"See our other books on Optimization\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Optimization%20%5BPBU%5D%22\"\u003ePBU\u003c\/a\u003e], Business mathematics \u0026amp; systems [\u003ca title=\"See our other books on Business mathematics \u0026amp; systems\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Business%20mathematics%20\u0026amp;%20systems%20%5BKJQ%5D%22\"\u003eKJQ\u003c\/a\u003e], Finance [\u003ca title=\"See our other books on Finance\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20%5BKFF%5D%22\"\u003eKFF\u003c\/a\u003e], Risk assessment [\u003ca title=\"See our other books on Risk assessment\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Risk%20assessment%20%5BGPQD%5D%22\"\u003eGPQD\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Default Title","offer_id":46001481777432,"sku":"9781107056749","price":46.99,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/products\/9781107056749i_fde39d2b-0b4b-4cd1-b428-c4205fa6ab7f.jpg?v=1691361658","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/optimization-methods-in-finance-hardback-9781107056749","provider":"Freshly Printed Books","version":"1.0","type":"link"}