45-852 Optimization Methods in Finance

6 units, Carnegie Mellon University

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.

Prerequisites: none listed

Courseweave needs JavaScript to show sections, workloads and planning tools.