Numerical Optimization for Finance

Catalog description

This course gives students an overview of the numerical optimization concepts and methods frequently used in financial engineering. Building upon students' knowledge of programming and calculus, this course explores computational finance applications. Many classes of optimization problems will be explored, including linear, non-linear, integer, and dynamic programming. This course will combine theory (optimality conditions, for example) and how to apply the methods to asset allocation, risk management, option pricing, and cash flow matching. Students will also be exposed to using current software tools to solve optimization problems.