Optimization Models and Methods with …

Optimization Models and Methods with Applications in Finance Javier Nogales @fjnogales BCAM & UPV/EHU Courses Bilbao, February, 2013. Nogales - UC3M Optimization & Finance BCAM 2013 1 / 112. Some references J. Nocedal and Wright. Numerical Optimization . Springer-Verlag, 2006. S. Boyd and L. Vandenberghe. Convex Optimization . Cambridge University Press, 2004. G. Cornuejols and R. T . ut . unc u: Optimization Methods in Finance. Cambridge University Press, 2007. W. T. Ziemba and R. G. Vickson (Ed.): Stochastic Optimization Models in finance. World Scientific, 2006. A. Ruszczynski, A. Shapiro (Ed.): Stochastic Programming.

Structure of the course 1 Introduction and modeling 2 Unconstrained Optimization and Applications 3 Constrained Optimization and Applications 4 Optimization under Uncertainty with Applications Nogales - UC3M Optimization & Finance BCAM 2013 3 / …

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