Optimization models play an increasingly important role in financial decisions. This course introduces the student to financial optimization models and methods. We will specifically discuss linear, integer, quadratic, and general nonlinear programming. If time permits, we will also cover dynamic and stochastic programming. The main theoretical features of these optimization methods will be studied as well as a variety of algorithms used in practice. Prerequisite(s): Multivariate calculus and linear algebra. Course Note(s): Due to overlap in subject matter in EN.625.615 and EN.625.616, students may not receive credit towards the MS or post-master’s certificate for both EN.625.615 and EN.625.616.
Course Offerings
There are no sections currently offered, however you can view a sample syllabus from a prior section of this course.