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 | 1. Linear Optimization: asset pricing and arbitrage, risk-neutral probability measure,
2. Quadratic Optimization: mean-variance portfolio selection (Markowitz model),
3. Conic Optimization: capital allocation line and Sharpe ratio,
4. Stochastic Optimization: Asset/liability management and scenario generation,
5. Convex Optimization: Value-at-Risk, Conditional Value-at-Risk,
6. Robust Optimization: Robust portfolio selection |
Course Delivery Information
|
| Delivery period: 2014/15 Semester 2, Not available to visiting students (SS1)
|
Learn enabled: Yes |
Quota: None |
|
Web Timetable |
Web Timetable |
| Course Start Date |
12/01/2015 |
| Breakdown of Learning and Teaching activities (Further Info) |
Total Hours:
150
(
Lecture Hours 20,
Seminar/Tutorial Hours 5,
Supervised Practical/Workshop/Studio Hours 20,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 3,
Directed Learning and Independent Learning Hours
100 )
|
| Additional Notes |
|
| Breakdown of Assessment Methods (Further Info) |
Written Exam
50 %,
Coursework
50 %,
Practical Exam
0 %
|
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| 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 (CVX,MATLAB). Familiarity with deterministic and stochastic formulations, their purpose, strengths and weaknesses. |
Assessment Information
| See 'Breakdown of Assessment Methods' and 'Additional Notes', above. |
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 Peter Richtarik
Tel: (0131 6)50 5049
Email: |
Course secretary | Mrs Frances Reid
Tel: (0131 6)50 4883
Email: |
|
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|
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