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 | 1. Linear Optimization: asset pricing and arbitrage, risk-neutral probability measure,
2. Quadratic Optimization: mean-variance portfolio selection (Markowitz model),
3. Conic Optimization: capital allocation line and Sharpe ratio.
This course is only available to students on the MSc Financial Mathematics programme. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | Students MUST NOT also be taking
Optimization Methods in Finance (MATH11110)
|
Other requirements | None |
| Additional Costs | None |
Course Delivery Information
|
| Delivery period: 2014/15 Semester 2, Not available to visiting students (SS1)
|
Learn enabled: Yes |
Quota: None |
|
Web Timetable |
Web Timetable |
| Course Start Date |
12/01/2015 |
| Breakdown of Learning and Teaching activities (Further Info) |
Total Hours:
75
(
Lecture Hours 10,
Supervised Practical/Workshop/Studio Hours 10,
Summative Assessment Hours 1,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
52 )
|
| Additional Notes |
|
| Breakdown of Assessment Methods (Further Info) |
Written Exam
50 %,
Coursework
50 %,
Practical Exam
0 %
|
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| Main Exam Diet S2 (April/May) | MSc Deterministic Optimization Methods in Finance | 1:00 | |
Summary of Intended Learning Outcomes
| Ability to formulate and solve practical problems arising in finance using modern optimization methods and software (CVX, MATLAB). Familiarity with deterministic formulations, their purpose, strengths and weaknesses. |
Assessment Information
| See 'Breakdown of Assessment Methods' and 'Additional Notes', above. |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
- Linear Optimization: asset pricing and arbitrage, risk-neutral probability measure
- Quadratic Optimization: mean-variance portfolio selection (Markowitz model)
- Conic Optimization: capital allocation line and Sharpe ratio
|
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | OMF1 |
Contacts
| Course organiser | Dr Peter Richtarik
Tel: (0131 6)50 5049
Email: peter.richtarik@ed.ac.uk |
Course secretary | Mrs Frances Reid
Tel: (0131 6)50 4883
Email: f.c.reid@ed.ac.uk |
|
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|
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