Optimization Methods in Finance

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Optimization Methods in Finance

By Gerard Cornuejols

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This textbook discusses optimization problems encountered in financial models, describes the relevant theory and efficient solution methods, and shows how to apply them to practical problems in mathematical finance. Based on a successful course at CMU, the text is class-tested and meets the need for a textbook aimed at financial applications.

Subject: Mathematics & Statistics -> Mathematics -> Mathematics General

Optimization Methods in Finance
1st edition
Publisher: Cambridge University Press 12/21/06
Imprint: Cambridge University Press
Language: English

ISBN 10: 113963738X
ISBN 13: 9781139637381
Print ISBN: 9780521861700

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