文件名称：optimation method in finance
文件大小：1.24MB
文件格式：PDF
更新时间：2020-12-23 07:32:30
optimization , finance
金融中的优化分析及算法; 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 calibration can be solved e–ciently using modern optimization techniques. This course discusses several classes of optimization problems (including linear, quadratic, integer, dynamic, stochastic, conic, and robust programming) encountered in flnancial models. For each problem class, after introducing the relevant theory (optimality conditions, duality, etc.) and e–cient solution methods, we discuss several problems of mathematical flnance that can be modeled within this problem class. In addition to classical and well-known models such as Markowitz’ mean-variance optimization model we present some newer optimization models for a variety of flnancial problems.