Postgraduate Course: Deterministic Optimization Methods in Finance (MATH11092)
Course Outline
| School |
School of Mathematics |
College |
College of Science and Engineering |
| Course type |
Standard |
Availability |
Not available to visiting students |
| Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
7.5 |
| Home subject area |
Mathematics |
Other subject area |
None |
| Course website |
None
|
Taught in Gaelic? |
No |
| Course description |
Linear Programming: Computing a dedicated bond portfolio, Asset pricing and arbitrage. Quadratic Programming: Portfolio optimization (Markowitz model). Conic Optimization: Approximating covariance matrices. Integer Programming: Constructing an index fund. |
Entry Requirements
| Pre-requisites |
|
Co-requisites |
|
| Prohibited Combinations |
|
Other requirements |
None
|
| Additional Costs |
None |
Course Delivery Information
|
| Delivery period: 2010/11 Semester 2, Not available to visiting students (SS1)
|
WebCT enabled: Yes |
Quota: None |
| Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
| No Classes have been defined for this Course |
| First Class |
First class information not currently available |
| No Exam Information |
Summary of Intended Learning Outcomes
| Ability to formulate and solve practical problems arising in finance using modern optimization methods and software. Familiarity with different formulations, their purpose, strengths and weaknesses. |
Assessment Information
| Continuous Assessment 25%; Examination 75% |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords |
OMF1 |
Contacts
| Course organiser |
Dr Julian Hall
Tel: (0131 6)50 5075
Email: J.A.J.Hall@ed.ac.uk |
Course secretary |
Mrs Frances Reid
Tel: (0131 6)50 4883
Email: f.c.reid@ed.ac.uk |
|
copyright 2011 The University of Edinburgh -
13 January 2011 6:21 am
|
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