
Optimization Methods in Finance
by Gerard Cornuejols , Reha Tütüncü-
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Summary
Table of Contents
1. Introduction | |
2. Linear Programming: Theory and Algorithms | |
3. LP Models: Asset/Liability Cash Flow Matching | |
4. LP Models: Asset Pricing and Arbitrage | |
5. Nonlinear Programming: Theory and Algorithms | |
6. NLP Volatility Estimation | |
7. Quadratic Programming: Theory and Algorithms | |
8. QP Models: Portfolio Optimization | |
9. Conic Optimization Tools | |
10. Conic Optimization Models in Finance | |
11. Integer Programming: Theory and Algorithms | |
12. IP Models: Constructing an Index Fund | |
13. Dynamic Programming Methods | |
14. DP Models: Option Pricing | |
15. DP Models: Structuring Asset Backed Securities | |
16. Stochastic Programming: Theory and Algorithms | |
17. SP Models: Value-at-Risk | |
18. SP Models: Asset/Liability Management | |
19. Robust Optimization: Theory and Tools | |
20. Robust Optimization Models in Finance | |
Appendix A. Convexity | |
Appendix B. Cones | |
Appendix C. A Probability Primer | |
Appendix D. The Revised Simplex Method | |
Bibliography | |
Index. |
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