Nonlinear Optimization with Financial Applications PDF Download
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Author: Michael Bartholomew-Biggs
Publisher: Springer Science & Business Media
ISBN: 0387241493
Category : Mathematics
Languages : en
Pages : 276
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Book Description
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.
Author: Michael Bartholomew-Biggs
Publisher: Springer Science & Business Media
ISBN: 0387241493
Category : Mathematics
Languages : en
Pages : 276
Get Book
Book Description
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.
Author: Michael Bartholomew-Biggs
Publisher: Springer
ISBN: 9780387522586
Category : Mathematics
Languages : en
Pages : 0
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Book Description
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.
Author: Michael Bartholomew-Biggs
Publisher: Springer Science & Business Media
ISBN: 0387787232
Category : Mathematics
Languages : en
Pages : 296
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Book Description
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.
Author: Gerard Cornuejols
Publisher:
ISBN: 9781107168299
Category : Finance
Languages : en
Pages : 345
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Book Description
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.
Author: H. A. Eiselt
Publisher: Springer Nature
ISBN: 3030194620
Category : Mathematics
Languages : en
Pages : 366
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Book Description
This book provides a comprehensive introduction to nonlinear programming, featuring a broad range of applications and solution methods in the field of continuous optimization. It begins with a summary of classical results on unconstrained optimization, followed by a wealth of applications from a diverse mix of fields, e.g. location analysis, traffic planning, and water quality management, to name but a few. In turn, the book presents a formal description of optimality conditions, followed by an in-depth discussion of the main solution techniques. Each method is formally described, and then fully solved using a numerical example.
Author: Bruce D. Craven
Publisher: Springer Science & Business Media
ISBN: 0387242805
Category : Business & Economics
Languages : en
Pages : 161
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Book Description
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.
Author: Igor Griva
Publisher: SIAM
ISBN: 0898716616
Category : Mathematics
Languages : en
Pages : 742
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Book Description
Flexible graduate textbook that introduces the applications, theory, and algorithms of linear and nonlinear optimization in a clear succinct style, supported by numerous examples and exercises. It introduces important realistic applications and explains how optimization can address them.
Author: Savin Treanţă
Publisher: Cambridge Scholars Publishing
ISBN: 1527560384
Category : Mathematics
Languages : en
Pages : 146
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Book Description
This book focuses on recent advances in nonlinear analysis and optimization with important applications drawn from various fields, such as artificial intelligence, genetic algorithms, optimization problems under uncertainty, and fuzzy logic. Specifically, it is devoted to nonlinear problems associated with optimization which have some connection with applications. The ideas and techniques developed here will serve to stimulate further research in this dynamic field, and, in this way, the book will become a valuable reference for researchers, engineers and students in the field of mathematics, management science, operations research, optimal control science and economics.
Author: John T. Betts
Publisher: SIAM
ISBN: 0898716888
Category : Mathematics
Languages : en
Pages : 442
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Book Description
A focused presentation of how sparse optimization methods can be used to solve optimal control and estimation problems.
Author: Huyên Pham
Publisher: Springer Science & Business Media
ISBN: 3540895000
Category : Mathematics
Languages : en
Pages : 243
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Book Description
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.
