Postgraduate Course: Deterministic Optimization Methods in Finance (MATH11092)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Not available to visiting students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 7.5 |
| Home subject area | Mathematics |
Other subject area | None |
| Course website |
None |
Taught in Gaelic? | No |
| Course description | Linear Programming: Computing a dedicated bond portfolio, Asset pricing and arbitrage. Quadratic Programming: Portfolio optimization (Markowitz model). Conic Optimization: Approximating covariance matrices. Integer Programming: Constructing an index fund. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Course Delivery Information
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| Delivery period: 2012/13 Semester 2, Not available to visiting students (SS1)
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WebCT enabled: Yes |
Quota: None |
| Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
| No Classes have been defined for this Course |
| First Class |
First class information not currently available |
| No Exam Information |
Summary of Intended Learning Outcomes
| Ability to formulate and solve practical problems arising in finance using modern optimization methods and software. Familiarity with different formulations, their purpose, strengths and weaknesses. |
Assessment Information
| Continuous Assessment 25%; Examination 75% |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | OMF1 |
Contacts
| Course organiser | Dr Julian Hall
Tel: (0131 6)50 5075
Email: |
Course secretary | Mrs Frances Reid
Tel: (0131 6)50 4883
Email: |
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