Optimization Methods in Finance

DOI10.1017/9781107297340zbMath1400.91001OpenAlexW4233369492MaRDI QIDQ4577977

Cornuéjols, Gérard, Reha H. Tütüncü, Javier F. Peña

Publication date: 7 August 2018

Full work available at URL: https://doi.org/10.1017/9781107297340

zbMATH Keywords

option pricingmodel calibrationoptimization modelscomputational financeasset allocation

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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