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OverviewOptimization 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. Full Product DetailsAuthor: Gérard Cornuéjols (Carnegie Mellon University, Pennsylvania) , Javier Peña (Carnegie Mellon University, Pennsylvania) , Reha TütüncüPublisher: Cambridge University Press Imprint: Cambridge University Press Edition: 2nd Revised edition Dimensions: Width: 17.80cm , Height: 2.10cm , Length: 25.30cm Weight: 0.830kg ISBN: 9781107056749ISBN 10: 1107056748 Pages: 348 Publication Date: 09 August 2018 Audience: College/higher education , Professional and scholarly , Undergraduate , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of ContentsReviewsReview 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 Review 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 TODAY Review 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 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 Author InformationGérard 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. Tab Content 6Author Website:Countries AvailableAll regions |
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