IE 524

Fall 2021 Part of Term A

Part of Term A
Aug 23-Oct 15

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 2021
	CRN	Type	Section	Time	Day	Location	Instructor	Section Details
	60072	Online Lecture	A	8:00AM -9:20AM	MW	n.a.	Wang, Q	Part of Term: A Date Range: 08/23/21-10/15/21 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:Industrial Engineerng -UIUC, MS:Industrial Engr Online-UIUC, PHD:Industrial Enginerng -UIUC, MS:Sys & Entreprnural Eng-UIUC, PHD:Sys&Entreprnural Eng-UIUC, or MS: Financial Engineering.