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Optimization Methods in Finance

Optimization Methods in Finance Gerard Cornuejols tu Reha Tu ncu . Carnegie Mellon University, Pittsburgh, PA 15213 USA. January 2006. 2. Foreword Optimization models play an increasingly important role in financial de- cisions. 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 course discusses sev- eral classes of Optimization problems (including linear, quadratic, integer, dynamic, stochastic, conic, and robust programming) encountered in finan- cial models.

Optimization Methods in Finance Gerard Cornuejols Reha Tut unc u Carnegie Mellon University, Pittsburgh, PA 15213 USA January 2006

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