Optimization Methods in Finance (Mathematics, Finance and Risk)

Ana sayfa
Ekonomi - Finans
Optimization Methods in Finance (Mathematics, Finance and Risk)

Yazar	: Gerard Cornuejols Reha Tütüncü
Yayınevi	: Cambridge University Press
ISBN	: 9780521861700
Baskı yılı	: 2006
Sayfa sayısı	: 358
Ağırlık	: 0.76 kg
Stok durumu	: Var Stok detayları
Kargoya teslim	: Aynı gün kargo

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 Masters 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.

1	Introduction	1
2	Linear programming : theory and algorithms	15
3	LP models : asset/liability cash-flow matching	41
4	LP models : asset pricing and arbitrage	62
5	Nonlinear programming : theory and algorithms	80
6	NLP models : volatility estimation	112
7	Quadratic programming : theory and algorithms	121
8	QP models : portfolio optimization	138
9	Conic optimization tools	168
10	Conic optimization models in finance	178
11	Integer programming : theory and algorithms	192
12	Integer programming models : constructing an index fund	212
13	Dynamic programming methods	225
14	DP models : option pricing	240
15	DP models : structuring asset-backed securities	248
16	Stochastic programming : theory and algorithms	255
17	Stochastic programming models : value-at-risk and conditional value-at-risk	271
18	Stochastic programming models : asset/liability management	279
19	Robust optimization : theory and tools	292
20	Robust optimization models in finance	306
App. A	Convexity	320
App. B	Cones	322
App. C	A probability primer	323
App. D	The revised simplex method	327

Axess
Taksit	Taksit Tutarı	Toplam Tutar
Tek çekim	-	2526.74 TL
2 ay	1332.85 TL	2665.71 TL
3 ay	896.99 TL	2690.97 TL
6 ay	465.34 TL	2792.04 TL
9 ay	321.46 TL	2893.11 TL
12 ay	249.52 TL	2994.18 TL

cardFinans
Taksit	Taksit Tutarı	Toplam Tutar
Tek çekim	-	2526.74 TL
2 ay	1332.85 TL	2665.71 TL
3 ay	896.99 TL	2690.97 TL
6 ay	465.34 TL	2792.04 TL
9 ay	321.46 TL	2893.11 TL
12 ay	249.52 TL	2994.18 TL

Bonus
Taksit	Taksit Tutarı	Toplam Tutar
Tek çekim	-	2526.74 TL
2 ay	1332.85 TL	2665.71 TL
3 ay	896.99 TL	2690.97 TL
6 ay	465.34 TL	2792.04 TL
9 ay	321.46 TL	2893.11 TL
12 ay	249.52 TL	2994.18 TL

World
Taksit	Taksit Tutarı	Toplam Tutar
Tek çekim	-	2526.74 TL
2 ay	1332.85 TL	2665.71 TL
3 ay	896.99 TL	2690.97 TL
6 ay	465.34 TL	2792.04 TL
9 ay	321.46 TL	2893.11 TL
12 ay	249.52 TL	2994.18 TL

Maximum
Taksit	Taksit Tutarı	Toplam Tutar
Tek çekim	-	2526.74 TL
2 ay	1332.85 TL	2665.71 TL
3 ay	896.99 TL	2690.97 TL
6 ay	465.34 TL	2792.04 TL
9 ay	321.46 TL	2893.11 TL
12 ay	249.52 TL	2994.18 TL

Paraf
Taksit	Taksit Tutarı	Toplam Tutar
Tek çekim	-	2526.74 TL
2 ay	1332.85 TL	2665.71 TL
3 ay	896.99 TL	2690.97 TL
6 ay	465.34 TL	2792.04 TL
9 ay	321.46 TL	2893.11 TL
12 ay	249.52 TL	2994.18 TL