| TAOP55 | Financial Optimization, 4,5 ECTS credits. /Finansiell optimering/ |
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Prel. scheduled
hours: 34 |
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Area of Education: Science Subject area: Mathematics |
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| Advancement level
(A-D): D
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| Aim: To gain insight of how financial decision problems can be solved with an optimization methodology. To give experience of how financial decision problems can be solved with optimization methods. |
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| Prerequisites: (valid for students admitted to programmes within which the course is offered) Introduction to Operations Research (TAOP02) and Mathematical Statistics, first course (TAMS15) (or corresponding courses on other programs). The courses Capital Budgeting and Financial Markets (TPPE05), Financial Valuation Methodology (TPPE80) and Financial risk management (TPPE81) are desirable, but not necessary. Note: Admission requirements for non-programme students usually also include admission requirements for the programme and threshhold requirements for progression within the programme, or corresponding. |
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| Organisation: The course consists of two to three projects, which are solved in a group. The course is not in the timetable. Lectures and guidance support the projects. The contents of the lectures are governed by the project's need. At the seminars the projects are presented and discussed. |
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| Course contents: Knowledge of stochastic optimization models, construction of optimization models of realistic financial decision problems (Asset Liability Management models) and evaluation of these. Understand, from an optimization viewpoint, the Mean-Variance model, Value at Risk, Conditional Value at risk and Hedging. |
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| Course literature: Luenberger(1997): Investment Science. Additional material. |
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| Examination: | |||
| Oral and written presentation of the projects. Attendance at the other seminars. |
3 p |
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Course language is Swedish. Department offering the course: MAI. Director of Studies: Mathias Henningsson Examiner: Jörgen Blomvall Link to the course homepage at the department Course Syllabus in Swedish |
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