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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2011/2012
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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Optimization Methods in Finance (MATH11110)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Course typeStandard AvailabilityNot available to visiting students
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) Credits15
Home subject areaMathematics Other subject areaNone
Course website None Taught in Gaelic?No
Course descriptionLinear 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. Stochastic Programming: Asset/Liability management. The role of simulation in modelling and solving stochastic programming problems. Risk Modelling: Value-at-Risk, Conditional Value-at-Risk. Robust Optimization: Robust portfolio selection.
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements None
Additional Costs None
Course Delivery Information
Delivery period: 2011/12 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
Exam Information
Exam Diet Paper Name Hours:Minutes
Main Exam Diet S2 (April/May)MSc Optimization Methods in Finance2:00
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. Awareness of different approaches to risk modelling.
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
KeywordsOMF
Contacts
Course organiserDr Julian Hall
Tel: (0131 6)50 5075
Email: J.A.J.Hall@ed.ac.uk
Course secretaryMrs Frances Reid
Tel: (0131 6)50 4883
Email: f.c.reid@ed.ac.uk
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