| TPPE61 |
Financial Optimization, 6 ECTS credits.
/Finansiell optimering/
For:
I
Ii
MMAT
Y
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Prel. scheduled
hours: 22
Rec. self-study hours: 138
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Area of Education: Science
Main field of studies: Industrial Engineering and Management, Mathematics, Applied Mathematics
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Advancement level
(G1, G2, A): A
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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. After the course, the student shall:
- explain stochastic programming models
- be able to plan, design and implement financial optimization models (Asset Liability Management models) and evaluate these
- explain Mean-Variance model
- explain Value at Risk, Conditional Value at Risk and Hedging from an optimization perspective
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Prerequisites: (valid for students admitted to programmes within which the course is offered)
Introduction to Operations Researchand Mathematical Statistics, first course (or corresponding courses on other programs). The courses Financial Markets and Instruments, Financial Valuation Methodology , and Portfolio Management 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 one or two 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:
Stochastic optimization. Mean-Variance model, Conditional Value at Risk and Hedging. Maximal smoothness of interest rate curves.
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Course literature:
Additional material.
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Examination: |
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Oral and written presentation of the projects. Attendance at the other seminars.
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6 ECTS
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Individually written report. |
Course language is Swedish.
Department offering the course: IEI.
Director of Studies: Fredrik Persson
Examiner: Jörgen Blomvall
Link to the course homepage at the department
Course Syllabus in Swedish
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