Cornuejols G., Tutuncu R. Optimization Methods in Finance

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размер 1.46 МБ
добавлен 25 сентября 2011 г.

Pittsburgh, Caegie Mellon University, 2006. 349p.

Учебник по методам оптимизации с приложениями из области финансов и экономики (указаны в скобках). Включает линейное программирование (задачи максимизации потока доходов и выявления ценового арбитража), нелинейное программирование (оценка волатильности), квадратичного программирования (построение оптимального портфеля активов), оптимизация на конусе (задачи хеджирования), целочисленная оптимизация (построение индексного фонда), динамическое программирование (оценка опционов и оптимизация управления капиталом из облигаций), стохастическое программирование (оптимизация показателя CVaR и оптимальное управление задолженностями), робастная оптимизация построение портфеля и опционное ценообразование).
Для преподавателей курсов оптимизации и математического программирования на экономических факультетах, а также студентов и аспирантов экономических специальностей.

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