Nonlinear Optimization with Financial Applications

Name: Nonlinear Optimization with Financial Applications
Brand: Springer-Verlag New York Inc.
SKU: 9781402081101
Price: 577.04 RON
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Autor: Michael C.Barth Biggs

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Editura: Springer-Verlag New York Inc.

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The book introduces the key ideas behind practical nonlinear optimization. Computational finance an...

Informații despre carte

Autor

Michael C.Barth Biggs

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2005

Pagini

261

EAN

9781402081101

ISBN

1402081103

Enbook ID

04194699

Editura

Springer-Verlag New York Inc.

Greutate

550

Dimensiuni

159 x 243 x 21

Descriere completă

The book introduces the key ideas behind practical nonlinear optimization. Computational finance an increasingly popular area of mathematics degree programs is combined here with the study of an important class of numerical techniques. The financial content of the book is designed to be relevant and interesting to specialists. However, this material which occupies about one-third of the text is also sufficiently accessible to allow the book to be used on optimization courses of a more general nature. The essentials of most currently popular algorithms are described, and their performance is demonstrated on a range of optimization problems arising in financial mathematics. Theoretical convergence properties of methods are stated, and formal proofs are provided in enough cases to be instructive rather than overwhelming. Practical behavior of methods is illustrated by computational examples and discussions of efficiency, accuracy and computational costs. Supporting software for the examples and exercises is available (but the text does not require the reader to use or understand these particular codes). The author has been active in optimization for over thirty years in algorithm development and application and in teaching and research supervision.

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