optimization methods in finance

【文件属性】：
文件名称：optimization methods in finance
文件大小：1.75MB
文件格式：PDF
更新时间：2011-12-08 23:13:54
优化 金融 英语 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 conditions, 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.