Nonlinear Optimization with Financial Applications
The book introduces the key ideas behind practical nonlinear optimization. Computational finance an increasingly popular area of mathematics degree programmes is combined here with the study of an important class of numerical techniques. The financial content of the book is designed to be relevant a...
Tallennettuna:
| Päätekijä: | |
|---|---|
| Aineistotyyppi: | Livre numérique |
| Kieli: | Anglais |
| Julkaistu: |
Boston, MA :
Springer US : Springer e-books
[20..].
Cham : Springer Nature |
| Linkit: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Huomautus: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Nonlinear optimization with financial applications, Michael Bartholomew-Biggs,..., Boston, Kluwer Academic Publishers, 2005, 1 volume (XVII-261 pages), 1-4020-8110-3 |
| LEADER | 04064nam a22003017a 4500 | ||
|---|---|---|---|
| 001 | 948011 | ||
| 008 | 080409q2000 xx ||| |||| 00| 0 eng d | ||
| 009 | PPN123078687 | ||
| 020 | |a 9780387241494 | ||
| 041 | 0 | |a eng | |
| 082 | |a 519.6 | ||
| 100 | 1 | |a Bartholomew-Biggs, Michael C. | |
| 245 | 1 | 0 | |a Nonlinear Optimization with Financial Applications |c by Michael Bartholomew-Biggs. |
| 260 | |a Boston, MA : |b Springer US : |b Springer e-books. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a Portfolio Optimization One-Variable Optimization Optimal Portfolios with N Assets Unconstrained Optimization in N Variables The Steepest Descent Method The Newton Method Quasi-Newton Methods Conjugate Gradient Methods Optimal Portfolios with Restrictions Larger-Scale Portfolios Data-Fitting & The Gauss-Newton Method Equality Constrained Optimization Linear Equality Constraints Penalty Function Methods Sequential Quadratic Programming Further Portfolio Problems Inequality Constrained Optimization Extending Equality-Constraint Methods to Inequalities Barrier Function Methods Interior Point Methods Data Fitting Using Inequality Constraints Portfolio Re-Balancing and other Problems Global Unconstrained Optimization | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a The book introduces the key ideas behind practical nonlinear optimization. Computational finance an increasingly popular area of mathematics degree programmes 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 behaviour 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. Audience The book is aimed at lecturers and students (undergraduate and postgraduate) in mathematics, computational finance and related subjects. It is also useful for researchers and practitioners who need a good introduction to nonlinear optimization | ||
| 776 | 0 | |0 100980244 |t Nonlinear optimization with financial applications |f Michael Bartholomew-Biggs,... |c Boston |n Kluwer Academic Publishers |d 2005 |p 1 volume (XVII-261 pages) |z 1-4020-8110-3 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/b102601 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-8P7F6DGL-P |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:748046461 |u https://ezproxy.univ-orleans.fr/login?url=https://doi.org/10.1007/b102601 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:751497568 |u https://ezproxy.insa-cvl.fr/login?qurl=https://doi.org/10.1007/b102601 |z Accès INSA CVL | |
| 997 | |0 948011 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||