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Focusing on practical nonlinear optimization, this book merges computational finance with essential numerical techniques. It addresses specialists while remaining accessible for general optimization courses. Key algorithms are outlined, with their performance demonstrated through various financial mathematics problems. Theoretical convergence properties are discussed alongside formal proofs, ensuring clarity without overwhelming the reader. Practical examples illustrate method efficiency and costs, and supporting software is available for additional learning, though not mandatory. The author's extensive experience in optimization enriches the text.
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Nonlinear Optimization with Financial Applications, Michael Bartholomew-Biggs
- Lingua
- Pubblicato
- 2014
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- (In brossura)
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