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Optimization Methods in Finance

Optimization Methods in Finance

Second edition

Hardback (09 Aug 2018)

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Publisher's Synopsis

Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean-variance portfolio optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students, academics, and practitioners with a background in mathematics, operations research, or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of mean-variance optimization, multi-period models, and additional material to highlight the relevance to finance.

About the Publisher

Cambridge University Press

Cambridge University Press dates from 1534 and is part of the University of Cambridge. We further the University's mission by disseminating knowledge in the pursuit of education, learning and research at the highest international levels of excellence.

Book information

ISBN: 9781107056749
Publisher: Cambridge University Press
Imprint: Cambridge University Press
Pub date:
Edition: Second edition
DEWEY: 332.015195
DEWEY edition: 23
Language: English
Number of pages: 348
Weight: 832g
Height: 246mm
Width: 181mm
Spine width: 21mm