IE 524

Fall 2026 Part of Term A

Part of Term A
Aug 24-Oct 16

Optimization in Finance

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.

May be repeated in the same or separate semesters if topics vary to a maximum of 4 hours. Prerequisite: FIN 500 and MATH 257 or equivalent.

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IE 524 class schedule data for fall 2026
	Status		CRN	Type	Section	Time	Day	Location	Instructor	Section Details
			60072	Lecture-Discussion	A	3:00PM -4:40PM	TR	Engineering Hall	Wang, Q	Availability: Open (Restricted) Part of Term: A Date Range: 08/24/26-10/16/26 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.