IE 524

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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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