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optimization methods in finance
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上传时间: 2008-11-18
详细说明： Optimization models play an increasingly important role in nancial de- cisions. Many computational nance problems ranging from asset allocation to risk management, from option pricing to model calibration can be solved eciently using modern optimization techniques. This course discusses sev- eral classes of optimization problems (including linear, quadratic, integer, dynamic, stochastic, conic, and robust programming) encountered in nan- cial models. For each problem class, after introducing the relevant theory (optimality c onditions, duality, etc.) and ecient solution methods, we dis- cuss several problems of mathematical nance that can be modeled within this problem class. In addition to classical and well-known models such as Markowitz' mean-variance optimization model we present some newer optimization models for a variety of nancial problems. ...展开收缩
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