MATH 605 Analytical Foundations of Risk and Optimization
The course provides a solid and rigorous introduction to analytical and optimization methods of primary importance in modern economic and financial applications. The recent evolution of the concept and taxonomy of risk provides a comprehensive mathematical framework to evaluate and assess the exposure to sources of risk whose impact may severely jeopardize effective decision-making. The course additionally includes recently developed methods for optimal decision-making under uncertainty.
Prerequisite
Graduate standing, introductory probability, linear algebra, or by consent of instructor