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. Elsevier , 2003. S. W. Wallace (Ed.) applications of Stochastic programming. Book Data Limited, UK, 2005. Nogales - UC3M Optimization & finance BCAM 2013 2 / 112. 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 / 112.

Optimization Models and Methods with Applications in Finance Javier Nogales www.est.uc3m.es/Nogales @fjnogales BCAM & UPV/EHU Courses …

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