Abstract:

Optimization models and methods play an increasingly important role in financial decisions. Many computational finance problems ranging from asset allocation to risk management, from option pricing to model calibration can be solved efficiently using modern optimization techniques. This manuscript discusses several classes of optimization problems (including linear, quadratic, conic, robust, and stochastic programming problems) encountered in financial models. For each problem class, after introducing the relevant theory (optimality conditions, duality, etc.) and efficient solution methods, we discuss several problems of mathematical finance that can be modeled within this problem class. In addition to classical and well-known models such as Markowitz’ mean-variance optimization formulation we present some newer optimization models for a variety of financial problems.

现代金融理论离不开优化。这本手册从基础的linear programming 和 quadratic programming 开始，一直讲到当今研究最前沿的robustness in optimization. 对于那些对金融工程、动态投资组合、资产定价理论感兴趣的同学，这是非常不错的选择。

Title: Optimization in Finance

Advanced Lecture on Mathematical Science and Information Science I

Author: Reha H. Tutuncu Department of Mathematical Sciences Carnegie Mellon University

130 Pages

[此贴子已经被作者于2005-7-29 22:20:54编辑过]