内容

目次

1. Introduction; 2. Linear programming: theory and algorithms; 3. LPmodels: asset/liability cash flow matching; 4. LP models: asset pricing andarbitrage; 5. Nonlinear programming: theory and algorithms; 6. NLP volatilityestimation; 7. Quadratic programming: theory and algorithms; 8. QP models:portfolio optimization; 9. Conic optimization tools; 10. Conic optimizationmodels in finance; 11. Integer programming: theory and algorithms; 12. IPmodels: constructing an index fund; 13. Dynamic programming methods; 14. DPmodels: 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. Robustoptimization: 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.