Optimization Methods in Finance

Catalog description

Optimization plays an important role in financial decisions. Many computational finance problems ranging from asset allocation to risk management, from option pricing to model calibration can be solved efficiently using modern optimization techniques. This course discusses several classes of optimization problems (including linear, quadratic, integer, dynamic, stochastic, conic, and robust programming) encountered in financial models. For each problem class, after introducing the relevant theory and efficient solution methods, we discuss problems of mathematical finance that can be modeled within this problem class. Prerequisites: CSCI 1450 or APMA 1650 , and CSCI 1570 .