Optimization Methods In Finance

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Optimization Methods in Finance

Gerard Cornuejols,Reha Tütüncü
Optimization Methods in Finance Book PDF

Author : Gerard Cornuejols,Reha Tütüncü
Publisher : Cambridge University Press
Page : 358 pages
File Size : 40,8 Mb
Release : 2006-12-21
Category : Mathematics
ISBN : 0521861705

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Optimization Methods in Finance by Gerard Cornuejols,Reha Tütüncü Pdf

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 Master's 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.

Numerical Methods and Optimization in Finance

Manfred Gilli,Dietmar Maringer,Enrico Schumann
Numerical Methods and Optimization in Finance Book PDF

Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Page : 638 pages
File Size : 48,6 Mb
Release : 2019-08-30
Category : Electronic
ISBN : 9780128150658

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Numerical Methods and Optimization in Finance by Manfred Gilli,Dietmar Maringer,Enrico Schumann Pdf

Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems-ranging from asset allocation to risk management and from option pricing to model calibration-can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes two new chapters, a self-contained tutorial on implementing and using heuristics, and an explanation of software used for testing portfolio-selection models. Postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks and other financial companies can benefit from this second edition of Numerical Methods and Optimization in Finance. Introduces numerical methods to readers with economics backgrounds Emphasizes core simulation and optimization problems Includes MATLAB and R code for all applications, with sample code in the text and freely available for download

Optimization Methods in Finance

Gérard Cornuéjols,Javier Peña,Reha Tütüncü
Optimization Methods in Finance Book PDF

Author : Gérard Cornuéjols,Javier Peña,Reha Tütüncü
Publisher : Cambridge University Press
Page : 351 pages
File Size : 48,8 Mb
Release : 2018-08-09
Category : Business & Economics
ISBN : 9781107056749

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Optimization Methods in Finance by Gérard Cornuéjols,Javier Peña,Reha Tütüncü Pdf

Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance.

Stochastic Optimization Methods in Finance and Energy

Marida Bertocchi,Giorgio Consigli,Michael A. H. Dempster
Stochastic Optimization Methods in Finance and Energy Book PDF

Author : Marida Bertocchi,Giorgio Consigli,Michael A. H. Dempster
Publisher : Springer Science & Business Media
Page : 476 pages
File Size : 40,8 Mb
Release : 2011-09-15
Category : Business & Economics
ISBN : 1441995862

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Stochastic Optimization Methods in Finance and Energy by Marida Bertocchi,Giorgio Consigli,Michael A. H. Dempster Pdf

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.

Optimization Methods in Finance

Gerard Cornuejols,Reha Tütüncü
Optimization Methods in Finance Book PDF

Author : Gerard Cornuejols,Reha Tütüncü
Publisher : Cambridge University Press
Page : 3 pages
File Size : 42,6 Mb
Release : 2006-12-21
Category : Mathematics
ISBN : 9781139460569

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Optimization Methods in Finance by Gerard Cornuejols,Reha Tütüncü Pdf

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 Master's 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.

Simulation and Optimization in Finance

Dessislava A. Pachamanova,Frank J. Fabozzi
Simulation and Optimization in Finance Book PDF

Author : Dessislava A. Pachamanova,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 786 pages
File Size : 48,9 Mb
Release : 2010-09-23
Category : Business & Economics
ISBN : 9780470882122

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Simulation and Optimization in Finance by Dessislava A. Pachamanova,Frank J. Fabozzi Pdf

An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities Includes models and code in both spreadsheet-based software (@RISK, Solver, Evolver, VBA) and mathematical modeling software (MATLAB) Filled with in-depth insights and practical advice, Simulation and Optimization Modeling in Finance offers essential guidance on some of the most important topics in financial management.

Stochastic Optimization Models in Finance

William T. Ziemba,Raymond G. Vickson
Stochastic Optimization Models in Finance Book PDF

Author : William T. Ziemba,Raymond G. Vickson
Publisher : World Scientific
Page : 756 pages
File Size : 45,7 Mb
Release : 2006
Category : Business & Economics
ISBN : 9789812568007

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Stochastic Optimization Models in Finance by William T. Ziemba,Raymond G. Vickson Pdf

A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.

Continuous-time Stochastic Control and Optimization with Financial Applications

Huyên Pham
Continuous time Stochastic Control and Optimization with Financial Applications Book PDF

Author : Huyên Pham
Publisher : Springer Science & Business Media
Page : 243 pages
File Size : 51,7 Mb
Release : 2009-05-28
Category : Mathematics
ISBN : 9783540895008

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Continuous-time Stochastic Control and Optimization with Financial Applications by Huyên Pham Pdf

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Nonlinear Optimization with Engineering Applications

Michael Bartholomew-Biggs
Nonlinear Optimization with Engineering Applications Book PDF

Author : Michael Bartholomew-Biggs
Publisher : Springer Science & Business Media
Page : 296 pages
File Size : 40,7 Mb
Release : 2008-12-16
Category : Mathematics
ISBN : 9780387787237

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Nonlinear Optimization with Engineering Applications by Michael Bartholomew-Biggs Pdf

This textbook examines a broad range of problems in science and engineering, describing key numerical methods applied to real life. The case studies presented are in such areas as data fitting, vehicle route planning and optimal control, scheduling and resource allocation, sensitivity calculations and worst-case analysis. Chapters are self-contained with exercises provided at the end of most sections. Nonlinear Optimization with Engineering Applications is ideal for self-study and classroom use in engineering courses at the senior undergraduate or graduate level. The book will also appeal to postdocs and advanced researchers interested in the development and use of optimization algorithms.

Optimization Methods in Finance

Gerard Cornuejols
Optimization Methods in Finance Book PDF

Author : Gerard Cornuejols
Publisher : Unknown
Page : 345 pages
File Size : 47,9 Mb
Release : 2007
Category : Finance
ISBN : 1107168295

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Optimization Methods in Finance by Gerard Cornuejols Pdf

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 Master's 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.

Optimization in Economics and Finance

Bruce D. Craven,Sardar M. N. Islam
Optimization in Economics and Finance Book PDF

Author : Bruce D. Craven,Sardar M. N. Islam
Publisher : Springer Science & Business Media
Page : 161 pages
File Size : 55,7 Mb
Release : 2006-03-30
Category : Business & Economics
ISBN : 9780387242804

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Optimization in Economics and Finance by Bruce D. Craven,Sardar M. N. Islam Pdf

Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.

Meta-Heuristics Optimization Algorithms in Engineering, Business, Economics, and Finance

Vasant, Pandian M.
Meta Heuristics Optimization Algorithms in Engineering Business Economics and Finance Book PDF

Author : Vasant, Pandian M.
Publisher : IGI Global
Page : 735 pages
File Size : 47,5 Mb
Release : 2012-09-30
Category : Computers
ISBN : 9781466620872

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Meta-Heuristics Optimization Algorithms in Engineering, Business, Economics, and Finance by Vasant, Pandian M. Pdf

Optimization techniques have developed into a significant area concerning industrial, economics, business, and financial systems. With the development of engineering and financial systems, modern optimization has played an important role in service-centered operations and as such has attracted more attention to this field. Meta-heuristic hybrid optimization is a newly development mathematical framework based optimization technique. Designed by logicians, engineers, analysts, and many more, this technique aims to study the complexity of algorithms and problems. Meta-Heuristics Optimization Algorithms in Engineering, Business, Economics, and Finance explores the emerging study of meta-heuristics optimization algorithms and methods and their role in innovated real world practical applications. This book is a collection of research on the areas of meta-heuristics optimization algorithms in engineering, business, economics, and finance and aims to be a comprehensive reference for decision makers, managers, engineers, researchers, scientists, financiers, and economists as well as industrialists.

Optimization Methods for Gas and Power Markets

Enrico Edoli,Stefano Fiorenzani,Tiziano Vargiolu
Optimization Methods for Gas and Power Markets Book PDF

Author : Enrico Edoli,Stefano Fiorenzani,Tiziano Vargiolu
Publisher : Springer
Page : 192 pages
File Size : 55,7 Mb
Release : 2016-04-30
Category : Business & Economics
ISBN : 9781137412973

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Optimization Methods for Gas and Power Markets by Enrico Edoli,Stefano Fiorenzani,Tiziano Vargiolu Pdf

As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it. Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions. This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice. Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.

Nonlinear Optimization with Financial Applications

Michael Bartholomew-Biggs
Nonlinear Optimization with Financial Applications Book PDF

Author : Michael Bartholomew-Biggs
Publisher : Springer Science & Business Media
Page : 276 pages
File Size : 53,6 Mb
Release : 2006-07-21
Category : Mathematics
ISBN : 9780387241494

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Nonlinear Optimization with Financial Applications by Michael Bartholomew-Biggs Pdf

This instructive book introduces the key ideas behind practical nonlinear optimization, accompanied by computational examples and supporting software. It combines computational finance with an important class of numerical techniques.

Numerical Methods in Finance and Economics

Paolo Brandimarte
Numerical Methods in Finance and Economics Book PDF

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Page : 501 pages
File Size : 49,8 Mb
Release : 2013-06-06
Category : Mathematics
ISBN : 9781118625576

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Numerical Methods in Finance and Economics by Paolo Brandimarte Pdf

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.