Optimization Methods in Finance (Hardcover)

1. Introduction; 2. Linear programming: theory and algorithms; 3. LP models: asset/liability cash flow matching; 4. LP models: asset pricing and arbitrage; 5. Nonlinear programming: theory and algorithms; 6. NLP volatility estimation; 7. Quadratic programming: theory and algorithms; 8. QP models: portfolio optimization; 9. Conic optimization tools; 10. Conic optimization models in finance; 11. Integer programming: theory and algorithms; 12. IP models: constructing an index fund; 13. Dynamic programming methods; 14. DP models: option pricing; 15. DP models: structuring asset backed securities; 16. Stochastic programming: theory and algorithms; 17. SP models: value-at-risk; 18. SP models: asset/liability management; 19. Robust optimization: theory and tools; 20. Robust optimization models in finance; Appendix A. Convexity; Appendix B. Cones; Appendix C. A probability primer; Appendix D. The revised simplex method; Bibliography; Index.