MFIN 6640 Finance Seminar: Simulation and Optimization in Finance (Fall/Spring/Summer: 3 )
This course studies the theory and practice of financial simulation and optimization using quantitative techniques that enable finance professionals to make optimal decisions under uncertainty. While theoretical material and background for these techniques will be introduced, the focus is on their applications and hands-on implementation utilizing software packages and programing platforms that are widely used in the financial industry. Topics include simulation of important probability distributions, random walks, linear and nonlinear optimization and backtesting. Lectures draw on examples such as asset allocation under different definitions of risk; portfolio risk management; modeling asset price dynamics; trading strategies; index tracking; derivative pricing, hedging, arbitrage; capital budgeting under uncertainty and real options.
Last Updated: 28-Sep-17