Financial Optimization

3 Credits

Making optimal financial decisions under uncertainty. Financial topics include asset/liability management, option pricing and hedging, risk management and portfolio optimization. Optimization covered includes linear/nonlinear optimization, discrete optimization, dynamic programming and stochastic optimization. Emphasis on use of modeling languages and solvers in financial applications. Requires basic knowledge of linear optimization and probability. This course is an undergraduate version of ISE 447 . A student cannot receive credit for both ISE 347 and ISE 447 . Prerequisites: ISE 240