Optimization Methods in Finance
希望更多的优化方法能应用到金融中来……
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.
下载地址：http://tel.pinggu.org/bbs/b57i412415p1.html(或百度搜索）
分享到：
相关推荐
本书《Optimization Methods in Finance》（金融中的优化方法）由Gerard Cornuejols和Reha Tütüncü撰写，旨在探讨不同类型的优化问题（包括线性、二次、整数、动态、随机、锥形以及鲁棒编程）在金融模型中的应用...
### 数值方法与金融优化 #### 一、概述 《数值方法与金融优化》是一本专为金融工程领域的专业人士及学者编写的书籍。本书由Manfred Gilli（日内瓦大学和瑞士金融学院教授）、Dietmar Maringer（巴塞尔大学和日内瓦...
In fact, it has been around for decades in some specialized applications, such as Optical Character Recognition (OCR). But the first ML application that really became mainstream, improving the lives ...
本文将围绕“Simulation and Optimization in Finance”这一主题，深入探讨该领域内的核心概念和技术，并通过一系列书籍内容来理解这些知识点的具体应用。 #### 一、模拟在金融中的应用 1. **市场模拟**：模拟技术...
**3.5 效用最大化在n种商品世界中的应用 (Utility Maximization in an n-Good World)** - **多商品效用最大化**：本节讨论了更复杂的模型，在该模型中有多个商品。通过使用拉格朗日乘子法等数学工具，可以解决此类...
Optimization models play an increasingly important role in flnancial decisions. Many computational flnance problems ranging from asset allocation to risk management, from option pricing to model ...
本工具书《Nondifferentiable Optimization- Subgradient Optimization Methods》深入探讨了非光滑优化中的子梯度优化方法，这类方法在处理目标函数不可微的情况时尤其有效。 在详细说明标题中提到的知识点之前，...
根据提供的文件信息，本文将详细解析标题、描述和部分内容中涉及的知识点，介绍《Optimization Methods in Analysis and Design of Linearized Systems》一书中关于非线性系统线性化、优化设计控制的相关内容，以及...
《人工智能英文版课件：Optimization methods.pptx》涵盖了优化方法在人工智能领域的应用，特别是对粒子群优化算法（PSO）的讲解。优化方法在AI中扮演着至关重要的角色，因为它们帮助寻找最佳解决方案，使得机器学习...
tutmom, 关于"Modern Optimization Methods in Python"的教程 在 python 中的现代优化方法目前统计。定量金融。风险。操作研究。材料设计和其他预测科学等方面的最前沿问题发现了高度约束。大尺寸和非线性优化。 ...
Yi Shi是Intelligent Automation Inc.的研究科学家，同时担任弗吉尼亚理工大学布拉德利电气与计算机工程系的兼职助理教授；Hanif D. Sherali是弗吉尼亚理工大学格拉多工业与系统工程系的杰出大学教授，同时也是美国...
An improved particle swarm optimization (PSO) algorithm... Experiments show not only the feasibility and validity of the proposed method but also a marked improvement in performance over traditional PSO.
1. 机器学习中的优化算法：文档的标题和描述提到了“First-Order and Stochastic Optimization Methods for Machine Learning”，意味着该文档涉及机器学习中的优化算法。优化算法是机器学习的核心组成部分，用于...
中英文版本集合，PDF格式，可搜索复制 OPTIMIZATION BY VECTOR SPACE METHODS David G. Luenberger 1968 *优化的矢量空间方法 蒋*新 1987
By the early 1980s, barrier methods were almost without exception regarded as a closed chapter in the history of optimization. This picture changed dramatically with Karmarkar's widely publicized ...
他们的著作《Topology Optimization: Theory, Methods, and Applications》是该领域的经典入门书籍。这本书不仅详细介绍了拓扑优化的理论基础，还提供了方法论，并展示了许多实际应用案例。 - 书中提到了与出版有关...
这是一本讲解智能优化方法的书。其中讲解了智能优化的基本原理，以及相应的实践项目，对于学习智能算法是非常理想的教材。
《金融优化方法》这本书不仅涵盖了从基本概念到高级应用的全面内容，还提供了丰富的案例研究和实践指导，对于希望深入了解金融领域优化方法的学生和专业人士来说是一本不可多得的好书。无论是初学者还是有一定经验的...
《Practical Methods of Optimization》是R. Fletcher所著的关于优化理论的书籍。本书的第二版详细地介绍了各种实用的优化方法，并广泛应用于各类科学和工程领域。 首先，书名中“Optimization”一词表明了本书的...