IE 524

Fall 2012 Part of Term 1

Part of Term 1
Aug 27-Dec 12

Optimization in Finance

Credit: 4 hours.

Basic optimization models, theory and methods for financial engineering including linear, quadratic, nonlinear, dynamic integer, and stochastic programming; applications to portfolio selection, index fund tracking, asset management, arbitrage detection, option pricing and risk management; optimization software for classes of optimization problems. Projects requiring building optimization models based on financial market data and solutions using optimization solvers.

Prerequisite: FIN 500 and MATH 415.

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IE 524 class schedule data for fall 2012
	CRN	Type	Section	Time	Day	Location	Instructor	Section Details
	60072	Lecture-Discussion	OF	3:00PM -4:40PM	MW	1105 Siebel Center for Comp Sci	Pang, J Wang, F Schiro, D Wang, Q	Part of Term: 1 Date Range: 08/27/12-12/12/12 Restriction(s): Restricted to MS: Financial Engineering.