Nonlinear Optimization with Financial Applications Book

? 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.Read More