TY  - BOOK
AU  - Bartholomew-Biggs,Michael
TI  - Nonlinear optimization with financial applications
SN  - 1402081103
U1  - 519.76 
PY  - 2005///
CY  - Boston
PB  - Kluwer Academic Publishers
KW  - Mathematical optimization
KW  - Nonlinear programming
N1  - The book introduces the key ideas behind practical nonlinear optimization. Computational finance , an increasingly popular area of mathematics degree programs is combined here with the study of an important class of numerical techniques. 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 behavior of methods is illustrated by computational examples and discussions of efficiency, accuracy and computational costs
ER  -