| 02723 Practical Optimization in Finance |
| Danish title: Praktisk optimering i finansiering |
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Language: English ECTS-creditpoints: 10
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| Type: civil engineering course, open university |
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Class schedule:
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E5 only odd years |
| Recommended semester: 4th -7th semester |
| Scope and form: Lectures, exercises, project work. |
| Evaluation: Approval of coursework/reports
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| Examination: 13-scale |
| Prerequisites: 02701 / 04030 |
| Preferred prerequisites: 02709 / 04230 |
Aim: To give the participants a thorough introduction to practical optimization in the Finance domain: risk and portfolio management.
Participants will become able to identify problem areas which can be attacked using optimization methods, to evaluate risk-return trade-offs, and to model, solve and document large, practical problems. They will learn the latest developments within the field, both regarding financial instruments (derivateves, products with embedded options), and models and algorithms (such as scenarios and multistage, stochastic programming), and the practical integration of these topics. |
| Contents: Introduction to financial markets and instruments; repetition of LP and GAMS; classification of risks and their modeling (utility theory, tracking, Value at Risk); classical concepts (duration, convexity) and models for fixed-income and stock portfolios (immunization, dedication, Markowitz); interest rate and stock price models; modeling derivatives; scenario-based modeling; stochastic programming and decomposition algorithms. Case: Danish Mortgage Loans. |
| Contact: Søren S. Nielsen, building 321, (+45) 4525 3384, sn@imm.dtu.dk |
| Course URL: http://www.imm.dtu.dk/courses/02723 |
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