Optimization techniques are playing an increasingly important role in financial decision making. Many problems in quantitative finance that originate from asset allocation, risk management, derivative pricing, and model fitting, are now routinely and efficiently solved using modern optimization techniques. The Optimization in Finance course is a project based course in which students learn how to apply optimization techniques to solve real world financial problems using a suitable commercial optimization/finance packages (for example, Excel, Barra and Matlab). The course will cover optimization techniques for both linear and non-linear problems with applications in several areas of finance certifications exams in the area of active portfolio management
|
