IEOR E4007: Optimization Models and Methods
Dynamic Programming
Garud Iyengar
Columbia University
Industrial Engineering and Operations Research
Dynamic programming
Simple example: Capital Budgeting
Characteristics of dynamic programming
Integer knapsack
CUTTING EDGE. DERIVATIVES PRICING
Spread options, Farkass lemma
and linear programming
Vladimir Piterbarg derives necessary and
sucient conditions for the existence of
a joint distribution consistent with given
marginals and the distribution of the spread