IEORE4007 Optimization Models and Methods (Financial Engineering)
3 pts. Lect: 3. Probability and Statistics at the level of SIEO W3600 or SIEO W4150, and a basic course on Linear Algebra at the level of MATH V2010 or APMA E3101. This course is for graduate students in FE only. This course introduces the methodology of modeling financial decisions as constrained optimization problems and then selecting appropriate optimization methods to solve these problems. We will specifically discuss linear programming, quadratic and general nonlinear programming, dynamic and stochastic programming. We will also discuss some discrete optimization techniques. The main theoretical features of these optimization methods will be discussed. However, the emphasis will be on modeling financial decision problems and the choice of appropriate optimization methods.