Book contents
- Frontmatter
- Contents
- Foreword
- 1 Introduction
- 2 Linear programming: theory and algorithms
- 3 LP models: asset/liability cash-flow matching
- 4 LP models: asset pricing and arbitrage
- 5 Nonlinear programming: theory and algorithms
- 6 NLP models: volatility estimation
- 7 Quadratic programming: theory and algorithms
- 8 QP models: portfolio optimization
- 9 Conic optimization tools
- 10 Conic optimization models in finance
- 11 Integer programming: theory and algorithms
- 12 Integer programming models: constructing an index fund
- 13 Dynamic programming methods
- 14 DP models: option pricing
- 15 DP models: structuring asset-backed securities
- 16 Stochastic programming: theory and algorithms
- 17 Stochastic programming models: Value-at-Risk and Conditional Value-at-Risk
- 18 Stochastic programming models: asset/liability management
- 19 Robust optimization: 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
- References
- Index
14 - DP models: option pricing
Published online by Cambridge University Press: 06 July 2010
Book contents
- Frontmatter
- Contents
- Foreword
- 1 Introduction
- 2 Linear programming: theory and algorithms
- 3 LP models: asset/liability cash-flow matching
- 4 LP models: asset pricing and arbitrage
- 5 Nonlinear programming: theory and algorithms
- 6 NLP models: volatility estimation
- 7 Quadratic programming: theory and algorithms
- 8 QP models: portfolio optimization
- 9 Conic optimization tools
- 10 Conic optimization models in finance
- 11 Integer programming: theory and algorithms
- 12 Integer programming models: constructing an index fund
- 13 Dynamic programming methods
- 14 DP models: option pricing
- 15 DP models: structuring asset-backed securities
- 16 Stochastic programming: theory and algorithms
- 17 Stochastic programming models: Value-at-Risk and Conditional Value-at-Risk
- 18 Stochastic programming models: asset/liability management
- 19 Robust optimization: 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
- References
- Index
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- Optimization Methods in Finance , pp. 240 - 247Publisher: Cambridge University PressPrint publication year: 2006