Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Look up keyword or section
Like this
2Activity

Table Of Contents

Introduction
1.1 Optimization Problems
1.1.1 Linear and Nonlinear Programming
1.1.2 Quadratic Programming
1.1.3 Conic Optimization
1.1.4 Integer Programming
1.2. OPTIMIZATION WITH DATA UNCERTAINTY 13
1.1.5 Dynamic Programming
1.2 Optimization with Data Uncertainty
1.2.1 Stochastic Programming
1.2.2 Robust Optimization
1.3 Financial Mathematics
1.3.1 Portfolio Selection and Asset Allocation
1.3.2 Pricing and Hedging of Options
1.3.3 Risk Management
1.3.4 Asset/Liability Management
2.1 The Linear Programming Problem
2.2 Duality
2.3 Optimality Conditions
2.4 The Simplex Method
2.4.1 Basic Solutions
2.4.2 Simplex Iterations
2.4.5 The Dual Simplex Method
2.4.6 Alternatives to the Simplex Method
3.1 Short Term Financing
3.1.1 Modeling
3.3.1 Short Term Financing
3.3.2 Dedication
3.4 Case Study
4.1.1 Replication
4.1.2 Risk-Neutral Probabilities
4.1.3 The Fundamental Theorem of Asset Pricing
4.2. ARBITRAGE DETECTION USING LINEAR PROGRAMMING 75
4.2 Arbitrage Detection Using Linear Program-
4.3 Additional Exercises
5.1 Introduction
5.2 Software
5.3 Univariate Optimization
5.3.1 Binary search
5.3.2 Newton’s Method
5.3.3 Approximate Line Search
5.4. UNCONSTRAINED OPTIMIZATION 97
5.4 Unconstrained Optimization
5.4.1 Steepest Descent
5.4.2 Newton’s Method
5.5 Constrained Optimization
5.5.1 The generalized reduced gradient method
5.5.2 Sequential Quadratic Programming
5.6. NONSMOOTH OPTIMIZATION: SUBGRADIENT METHODS 113
5.6 Nonsmooth Optimization: Subgradient Meth-
6.1 Volatility Estimation with GARCH Models
6.2. ESTIMATING A VOLATILITY SURFACE 119
6.2 Estimating a Volatility Surface
7.1 The Quadratic Programming Problem
7.2 Optimality Conditions
7.3 Interior-Point Methods
7.4 The Central Path
7.5 Interior-Point Methods
7.5.1 Path-Following Algorithms
7.5.2 Centered Newton directions
7.5.3 Neighborhoods of the Central Path
7.5.4 A Long-Step Path-Following Algorithm
Algorithm 7.2 Long-Step Path-Following Algorithm
7.5.5 Starting from an Infeasible Point
7.6 QP software
7.7 Additional Exercises
8.1 Mean-Variance Optimization
8.1.1 Example
8.1.2 Large-Scale Portfolio Optimization
8.1.3 The Black-Litterman Model
8.1.4 Mean-Absolute Deviation to Estimate Risk
8.2 Maximizing the Sharpe Ratio
8.3 Returns-Based Style Analysis
8.4 Recovering Risk-Neural Probabilities from Op-
8.5 Additional Exercises
8.6 Case Study
Conic Optimization Tools
9.1 Introduction
9.2 Second-order cone programming:
9.2.1 Ellipsoidal Uncertainty for Linear Constraints
9.3 Semidefinite programming:
9.3.1 Ellipsoidal Uncertainty for Quadratic Constraints
9.4 Algorithms and Software
10.1 Tracking Error and Volatility Constraints
10.2 Approximating Covariance Matrices
10.3 Recovering Risk-Neural Probabilities from Op-
10.4. ARBITRAGE BOUNDS FOR FORWARD START OPTIONS 189
10.4 Arbitrage Bounds for Forward Start Options
10.4.1 A Semi-Static Hedge
11.1 Introduction
11.3.2 Branch and Bound
11.3.3 Cutting Planes
11.3.4 Branch and Cut
12.1 Combinatorial Auctions
12.2 The Lockbox Problem
12.3. CONSTRUCTING AN INDEX FUND 219
12.3 Constructing an Index Fund
12.3.1 A Large-Scale Deterministic Model
12.3.2 A Linear Programming Model
12.4 Portfolio Optimization with Minimum Trans-
12.5 Exercises
12.6 Case Study
13.1 Introduction
13.1.1 Backward Recursion
13.1.2 Forward Recursion
13.2 Abstraction of the Dynamic Programming Ap-
13.3 The Knapsack Problem
13.3.1 Dynamic Programming Formulation
13.3.2 An Alternative Formulation
13.4. STOCHASTIC DYNAMIC PROGRAMMING 239
13.4 Stochastic Dynamic Programming
DP Models: Option Pricing
14.1 A Model for American Options
14.2 Binomial Lattice
14.2.1 Specifying the parameters
14.2.2 Option Pricing
15.1 Data
15.2. ENUMERATING POSSIBLE TRANCHES 253
15.2 Enumerating possible tranches
15.3 A Dynamic Programming Approach
15.4 Case Study
16.1 Introduction
16.2 Two Stage Problems with Recourse
16.3 Multi Stage Problems
16.4 Decomposition
16.5 Scenario Generation
16.5.1 Autoregressive model
16.5.2 Constructing scenario trees
SP Models: Value-at-Risk
17.1 Risk Measures
17.2 Minimizing CVaR
17.3 Example: Bond Portfolio Optimization
18.1 Asset/Liability Management
18.1.1 Corporate Debt Management
18.2 Synthetic Options
18.3 Case Study: Option Pricing with Transaction
18.3.1 The Standard Problem
18.3.2 Transaction Costs
19.1 Introduction to Robust Optimization
19.2 Uncertainty Sets
19.3 Different Flavors of Robustness
19.3.1 Constraint Robustness
19.3.2 Objective Robustness
19.3.3 Relative Robustness
19.3.4 Adjustable Robust Optimization
19.4 Tools and Strategies for Robust Optimization
19.4.1 Sampling
19.4.2 Conic Optimization
19.4.3 Saddle-Point Characterizations
20.1 Robust Multi-Period Portfolio Selection
20.2 Robust Profit Opportunities in Risky Port-
20.3. ROBUST PORTFOLIO SELECTION 315
20.3 Robust Portfolio Selection
20.4. RELATIVE ROBUSTNESS IN PORTFOLIO SELECTION 317
20.4 Relative Robustness in Portfolio Selection
20.5. MOMENT BOUNDS FOR OPTION PRICES 319
20.5 Moment Bounds for Option Prices
20.6 Additional Exercises
Convexity
A Probability Primer
0 of .
Results for:
No results containing your search query
P. 1
Optimization Methods in Finance Cornuejols 2006

Optimization Methods in Finance Cornuejols 2006

Ratings: (0)|Views: 90|Likes:
Published by joeyfabs

More info:

Published by: joeyfabs on Sep 06, 2011
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

09/06/2011

pdf

text

original

You're Reading a Free Preview
Pages 7 to 37 are not shown in this preview.
You're Reading a Free Preview
Pages 44 to 48 are not shown in this preview.
You're Reading a Free Preview
Pages 60 to 195 are not shown in this preview.
You're Reading a Free Preview
Pages 202 to 349 are not shown in this preview.

Activity (2)

You've already reviewed this. Edit your review.
1 thousand reads
1 hundred reads

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->