IE 524

Fall 2021 Part of Term B

Part of Term B
Oct 18-Dec 8

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
	73988	Online	B	8:00AM -9:20AM	MW	n.a.	Wang, Q	Part of Term: B Date Range: 10/18/21-12/08/21 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: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.