Course Page

Optimization Methods in Finance

Course Number:

45852


Faculty

Gérard Cornuéjols, gc0v@andrew.cmu.edu


Program

MBA


Concentrations

Quantitative Analysis, Finance


Course Description

Optimization models play an increasingly important role in financial decisions. Many computational finance problems ranging from asset allocation to risk management, from option pricing to model calibration, can be efficiently solved using modern optimization techniques. This course covers several classes of optimization models (linear, quadratic, integer, and dynamic programming) encountered in financial contexts. For each model class, after a survey of the relevant theory and solution methods, we will discuss problems in mathematical finance that are amenable to that problem class. (4/12- JP)


Format

Lecture: 100min/wk and Recitation: 50min/wk


Pre-requisites

None