## Course Diary

For classes that have not happen yet, the entries are approximate.

**01/26:**course information and logistics, introduction to optimization, examples of computational finance problems, linear programming settings, duality, optimality of extreme points.**02/02:**basic feasible solutions, basic directions, reduced costs, step size, the simplex algorithm, the dual simplex, derivatives and options, asset pricing through replications.**02/09:**asset pricing, rational pricing, risk-neutral probabilities, first fundamental theorem of asset pricing, integer programming, combinatorial auctions, geometry of feasible region, branch and bound basics.**02/16:**branching rules, search strategies, cutting planes, Gomory mixed cuts, guest lecture by Serdar Kadioglu from Oracle.**02/23:**building index funds with integer programming.**03/02:**non-linear programming, Lagrangian, duality, Slater's condition, KKT conditions, gradient descent, Newton's method, subgradient methods.**03/09:**quadratic programming, geometric programming, interior point methods, logarithmic barrier, central path, barrier method.**03/16:**primal-dual interior point method, portfolio optimization.**03/23:**return-based style analysis, conic optimization.**03/30:**no class (spring break).**04/06:**stochastic optimization, L-shaped algorithm.**04/13:**generating scenarios, Value-at-Risk, Conditional Value-at-Risk**04/20:**no class**04/27:**robust optimization**…**