IE 524

Fall 2020 All Classes

All Classes

Optimization in Finance

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Credit: 2 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.

2 graduate hours. No professional credit. May be repeated in the same or separate semesters to a maximum of 4 hours. Prerequisite: FIN 500 and MATH 415. Restricted to MS: Financial Engineering.

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IE 524 class schedule data for fall 2020
CRN	Type	Section	Time	Day	Location	Instructor	Section Details
60072	Online	A	3:00PM -4:40PM	MW	n.a.	Wang, Q	Part of Term: A Date Range: 08/24/20-10/16/20 Credit: 2 hours Section Info: Required by MSFE students. Covers Basic optimization models, theory and methods for financial engineering, including linear and integer programming, nonlinear optimization, and their applications to portfolio management, index fund tracking, and arbitrage detection; optimization software to solve optimization problems. Restriction(s): Restricted to MS: Financial Engineering.
73988	Lecture-Discussion	B	3:00PM -4:40PM	MW	1105 Siebel Center for Comp Sci	Wang, Q	Part of Term: B Date Range: 10/19/20-12/09/20 Credit: 2 hours Section Info: Elective for MSFE students. Covers practical optimization tools and techniques, including dynamic programming, stochastic programming, robust optimization; and their applications to risk evaluation, asset/liability/cash management, and order executions. Projects requiring building optimization models based on financial market data and solutions using optimization solvers. Restriction(s): Restricted to MS: Financial Engineering.
75097	Online Lecture	OB	3:00PM -4:40PM	MW	n.a.	Wang, Q	Part of Term: B Date Range: 10/19/20-12/09/20 Credit: 2 hours Section Info: Elective for MSFE students. Covers practical optimization tools and techniques, including dynamic programming, stochastic programming, robust optimization; and their applications to risk evaluation, asset/liability/cash management, and order executions. Projects requiring building optimization models based on financial market data and solutions using optimization solvers. Restriction(s): Restricted to MS: Financial Engineering.