Syllabus

Titel
1847 K5 - Quantitative Optimization Methods in Finance
LV-Leiter/innen
Dr. Sühan Altay
Kontakt
  • LV-Typ
    PI
  • Semesterstunden
    2
  • Unterrichtssprache
    Englisch
Anmeldung
16.09.2019 bis 24.09.2019
Anmeldung über LPIS
Hinweise zur LV
Planpunkt(e) Bachelor
Termine
Wochentag Datum Uhrzeit Raum
Dienstag 15.10.2019 09:00 - 12:00 TC.3.07
Dienstag 22.10.2019 09:00 - 12:00 TC.3.07
Dienstag 29.10.2019 09:00 - 12:00 TC.3.07
Dienstag 05.11.2019 09:00 - 12:00 TC.3.07
Dienstag 12.11.2019 09:00 - 12:00 TC.3.07
Dienstag 19.11.2019 09:00 - 12:00 TC.3.07
Dienstag 26.11.2019 09:00 - 12:00 TC.3.07
Dienstag 03.12.2019 09:00 - 12:00 TC.3.07

Inhalte der LV

Optimization methods have a significant role in quantitative financial modeling. Many computational problems in finance can be solved by optimization techniques. This course will introduce the basics of optimization methods to solve many finance-related problems ranging from asset allocation to risk management, from option pricing to interest rate modeling. The main goal of this course is to become familiar with the basic optimization techniques and to apply them into various finance-related problems.

Lernergebnisse (Learning Outcomes)

After completing this course, the student will have the ability to

  • understand the basics of optimization methods used in financial problems;
  • apply optimization methods to concrete problems in the financial industry;
  • learn how to solve optimization problems with the help of software, e.g., MATLAB, Excel Solver, Lindo or R.

Regelung zur Anwesenheit

Full attendance is mandatory. This means that students should attend at least 80% of all lectures ( at most one session  can be missed).

Lehr-/Lerndesign

This course is mainly taught using a combination of (i) lectures elaborating relevant topics and (ii) examples (cases) illustrating and deepening various aspects of a specific topic. Real-world examples will allow students to apply theoretical knowledge to practical problems. Homework assignments and the final project will help students to consolidate and expand their knowledge and to understand the subject matter by developing solutions to applied problems. Furthermore, for the implementation and solution of the complex optimization problems, several programming languages will be presented and practiced.

Leistung(en) für eine Beurteilung

The assessment is based on a midterm (35%), homework assignments (25%) and a final project (40%).

Literatur

1 Autor/in: Alexander J. McNeil, Rüdiger Frey, Paul Embrechts
Titel: Quantitative Risk Management

Verlag: Princeton University Press
Jahr: 2005
2 Autor/in: Gerard Cornuejols and Reha Tutuncu
Titel: Optimization Methods in Finance

Verlag: Cambridge University Press
Jahr: 2007

Teilnahmevoraussetzung(en) und Vergabe von Wartelistenplätzen

Fulfillment of the specific requirements for admission to courses and examinations defined in the curriculum.

Empfohlene inhaltliche Vorkenntnisse

Sound knowledge in finance is necessary. Strong technical background (in  mathematics and statistics) is an advantage.

Erreichbarkeit des/der Vortragenden

saltay@wu.ac.at

Zuletzt bearbeitet: 04.09.2019



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