Optimization Methods in Finance

  1. Syllabus
  2. PDF

  3. Office Hours:
  4. By Appointment

  5. Selected Lecture Notes

  6. Notes Date
    Mathematics Preliminaries January 20
    Linear Programming - Theory and Algorithms February 3
    Linear Programming - Duality and Applications February 10
    Nonlinear Programming - Theory and Solver February 17
    Nonlinear Programming - Theory and Applications February 24
    Quadratic Programming - Theory and Solver March 3
    Quadratic Programming - Applications March 10
    Dynamic Programming - Theory March 17
    Dynamic Programming - Applications March 17
    Integer Programming - Theory and Solver April 11
    Integer Programming - Applications April 14
    Stochastic Programming - Theory April 21
    Stochastic Programming - Applications April 23
    Robust Optimization - Theory April 28
    Robust Optimization - Applications April 30

  7. Quizzes, Exams and Notes

  8. Notes Date
    Homework I March 3
    Homework I (Solutions) March 29
    Homework II March 31
    Homework II (Solutions) April 25