optimization techniques for models of parimutuel markets: application to finance
Carucci, Elisa (A.A. 2022/2023) optimization techniques for models of parimutuel markets: application to finance. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 78. [Bachelor's Degree Thesis]
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Abstract/Index
Equality constraints. Critical points of the lagrangian. Multiple constraints and variables. Inequality constraints. Necessary conditions for inequality constraints. Examples. Mixed constraints. Kuhn-Tucker formulation. Tangent cones and constraint qualification. Convexity. Convex sets. Convex functions. Quasi-convex and pseudo-convex funct. Convex optimization. Existence of a global minimum. Convex constrained optimization. Tangent cones and convexity. Optimization algorithms. Gradient descent. Projected gradient descent. Other methods. Betting systems. Fixed odds bettings. Parimutuel markets. Parimutuel mechanisms in financial markets. Mathematical structure. PMM. CPCAM. Parimutuel markets in options trading. Discussion. Simulations.
References
Bibliografia: p. 77.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2022/2023 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 Nov 2023 16:24 |
| Last Modified: | 06 Nov 2023 16:24 |
| URI: | https://tesi.luiss.it/id/eprint/36915 |
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