Carnegie Mellon University

Optimization Methods in Finance

Course Number: 45852

Optimization models play an increasingly important role in financial decisions. Many computational finance problems ranging from asset allocation to risk management, from option pricing to model calibration, can be efficiently solved using modern optimization techniques. This course covers several classes of optimization models (linear, quadratic, integer, and dynamic programming) encountered in financial contexts. For each model class, after a survey of the relevant theory and solution methods, we will discuss problems in mathematical finance that are amenable to that problem class. (4/12- JP)

Degree: MBA
Concentrations: Finance, Operations Research
Academic Year: 2020-2021
Required/Elective: Elective
Units: 6


Lecture: 100min/wk and Recitation: 50min/wk