Nonlinear Optimization with Financial Applications
Publication year: 2005
ISBN: 978-0-387-24149-4
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The book introduces the key ideas behind practical nonlinear optimization. Computational finance—an increasingly popular area of mathematics degree programmes—is combined here with the study of an important class of numerical techniques. The essentials of most currently popular algorithms are described and their performance is demonstrated on a range of optimization problems arising in financial mathematics. Theoretical convergence properties of methods are stated and formal proofs are provided in enough cases to be instructive rather than overwhelming. Practical behaviour of methods is illustrated by computational examples and discussions of efficiency, accuracy and computational costs. Supporting software for the examples and exercises is available
Subject: Mathematics and Statistics, Banks and banking, Computer science, Mathematics, Electronic data processing, Mathematical optimization, Numerical analysis, Operations research, Portfoliomanagement, Nichtlineare Optimierung
