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
- …