Optimization models and methods with applications in finance

Date: Mon, Feb 18 - Fri, Feb 22 2013

Hour: 09:00

Speakers: Francisco J. Nogales, Universidad Carlos III de Madrid, Madrid, Spain

After the course, the student will become familiar with the modeling and the application of optimization methods in complex decision-making processes. The complexity of these processes has grown in the last years and, hence this course tries to provide the necessary tools and modern techniques of optimization for the efficient solution of many decision-making problems arising in diverse areas, although the course will focus on application in Finance.

From a mathematical point of view, the course will review the main properties of general (non-linear) optimization problems including necessary and sufficient conditions for optimality, indicating the basic algorithms to solve these problems. Finally, different frameworks to model optimization problems under uncertainty will be presented, such as stochastic programming, robust optimization, and chance constraints.

From a practical point of view, several applications in Finance will be introduced, including portfolio selection problems, optimal risk management, advanced volatility estimation, and asset/liability management.




Confirmed speakers:

Francisco J. Nogales, Universidad Carlos III de Madrid, Madrid, Spain