The course introduces optimization concepts intended for coping with financial stochastic processes. The course involves both numerical analysis with commercial solvers and analytical approaches for gaining insights into underlying problems. The course covers three major optimization areas: convex optimization, non-convex optimization and stochastic programming. Conceptual frameworks and techniques are taught through applications and problems in financial engineering and management.
Prerequisite: FRE 6311. Co-Requisite: None. otes: None.
Additional material: FRE 6771 FINANCIAL OPTIMIZATION TECHNIQUES.pdf