2017-18 Catalog

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ISE 447 Financial Optimization 3 Credits

Making optimal financial decisions under uncertainty. Financial topics include asset/liability management, option pricing and hedging, risk management, and portfolio optimization. Optimization techniques covered include linear and nonlinear programming, integer programming, dynamic programming, and stochastic programming. Emphasis on use of modeling languages and solvers in financial applications. Requires basic knowledge of linear programming and probability. This course is a version of IE 347 for graduate students and requires advanced assignments. Credit will not be given for both IE 347 and IE 447.
Prerequisites: ISE 426 or IE 426 or ISE 316 or IE 316

Analytical Finance


...Curriculum : (12 credits) ISE 426. Optimization Models and Applications (3 Credits) ISE 447. Financial Optimization...