Postgraduate Course: Optimization Methods in Finance (MATH11110)
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 | 15 |
| 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. Stochastic Programming: Asset/Liability management. The role of simulation in modelling and solving stochastic programming problems. Risk Modelling: Value-at-Risk, Conditional Value-at-Risk. Robust Optimization: Robust portfolio selection. |
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 |
| Exam Information |
| Exam Diet |
Paper Name |
Hours:Minutes |
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| Main Exam Diet S2 (April/May) | MSc Optimization Methods in Finance | 2:00 | | |
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. Awareness of different approaches to risk modelling. |
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 | OMF |
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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