Lecturer: Francisco J. NOGALES, Universidad Carlos III, Madrid, Spain Webpage: https://sites.google.com/site/jnogalesweb/ Title: OPTIMIZATION MODELS AND METHODS WITH APPLICATIONS IN FINANCE Date and time: Mon, February 18 and Wed. February 20 9:00 to 11:00h Thu. February 21 and Fri, February 22, 2013 9:00 to 12:00h NO course on Tue, February 19 Abstract: After the course, the student will become familiar with the modeling and the application of optimization methods in complex decision-making processes. The complexity of these processes has grown in the last years and, hence this course tries to provide the necessary tools and modern techniques of optimization for the efficient solution of many decision-making problems arising in diverse areas, although the course will focus on application in Finance. From a mathematical point of view, the course will review the main properties of general (non-linear) optimization problems including necessary and sufficient conditions for optimality, indicating the basic algorithms to solve these problems. Finally, different frameworks to model optimization problems under uncertainty will be presented, such as stochastic programming, robust optimization, and chance constraints. From a practical point of view, several applications in Finance will be introduced, including portfolio selection problems, optimal risk management, advanced volatility estimation, and asset/liability management. . Bibliography: [1] J. Nocedal and S.J. Wright: Numerical Optimization. Springer-Verlag, 2006. [2] S. Boyd and L. Vandenberghe, Convex Optimization, Cambridge University Press, 2004. [3] A. Ruszczynski, A. Shapiro (Ed.): Stochastic Programming. Elsevier, 2003. [4] G. Cornuejols and R. Tütüncü: Optimization Methods in Finance. Cambridge University Press, 2007.

Title: OPTIMIZATION MODELS AND METHODS WITH APPLICATIONS IN FINANCE · 2013. 2. 13. · stochastic programming, robust optimization, and chance constraints. From a practical point

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Page 1: Title: OPTIMIZATION MODELS AND METHODS WITH APPLICATIONS IN FINANCE · 2013. 2. 13. · stochastic programming, robust optimization, and chance constraints. From a practical point

Thu. February 21 and Fri, February 22, 2013 9:00 to 12:00h NO course on Tue, February 19

Abstract: After the course, the student will become familiar with the modeling and the application of optimization methods in complex decision-making processes. The complexity of these processes has grown in the last years and, hence this course tries to provide the necessary tools and modern techniques of optimization for the efficient solution of many decision-making problems arising in diverse areas, although the course will focus on application in Finance. From a mathematical point of view, the course will review the main properties of general (non-linear) optimization problems including necessary and sufficient conditions for optimality, indicating the basic algorithms to solve these problems. Finally, different frameworks to model optimization problems under uncertainty will be presented, such as stochastic programming, robust optimization, and chance constraints. From a practical point of view, several applications in Finance will be introduced, including portfolio selection problems, optimal risk management, advanced volatility estimation, and asset/liability management. . Bibliography: [1] J. Nocedal and S.J. Wright: Numerical Optimization. Springer-Verlag, 2006. [2] S. Boyd and L. Vandenberghe, Convex Optimization, Cambridge University Press, 2004. [3] A. Ruszczynski, A. Shapiro (Ed.): Stochastic Programming. Elsevier, 2003. [4] G. Cornuejols and R. Tütüncü: Optimization Methods in Finance. Cambridge University Press, 2007.