MATH 612 Computational Methods and Optimization in Finance
This course introduces the main classes of optimization problems (linear, quadratic, convex, integer, stochastic, and robust) and the algorithms to efficiently compute the optimum in each case. The methods will be applied to financial problems such as asset/liability management, option pricing and hedging, risk management, and portfolio optimization. The students will learn to use software related to each technique.
Prerequisite
Undergraduate courses in linear algebra, programming, and introductory probability and statistics