Fiches de cours

Optimization methods

FIN-414

Enseignant(s) :

Perazzi Elena

Langue:

English

Remarque

For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan

Summary

This course presents the problem of static optimization, with and without (equality and inequality) constraints, both from the theoretical (optimality conditions) and methodological (algorithms) point of view. Economics and financial applications are provided. Dynamic optimization is also introduced

Content

Static optimization:

Dynamic optimization

Keywords

Optimization program, equality and inequality constraints, Lagrange and Kuhn-Tucker theorems, algorithms, Bellman equation, optimal control.

Learning Prerequisites

Important concepts to start the course

Basic concepts of linear algebra, mathematical analysis and probability.

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Slides.

Assessment methods

The grading will be based on exercises (30%), and (70%) final exam. The final exam is closed-books and closed-notes.

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

- Brandimarte P., ¿ Numerical Methods in Finance¿, Wiley Series in Economics and Statistics

- Dixit, A. K., "Optimization in economic theory", Oxford University Press, second edition.

- C. P. Simon and L.E. Blume, "Mathematics for Economists", W. W. Norton and Company

- R. K. Sundaram, "A First Course in Optimization Theory", Cambridge University Press.

Ressources en bibliothèque
Notes/Handbook

Slides for each lectures will be provided.

Dans les plans d'études

  • Ingénierie financière, 2019-2020, Master semestre 1
    • Semestre
      Automne
    • Forme de l'examen
      Pendant le semestre
    • Crédits
      2
    • Matière examinée
      Optimization methods
    • Cours
      1 Heure(s) hebdo x 14 semaines
    • Exercices
      1 Heure(s) hebdo x 14 semaines
  • Ingénierie financière, 2019-2020, Master semestre 3
    • Semestre
      Automne
    • Forme de l'examen
      Pendant le semestre
    • Crédits
      2
    • Matière examinée
      Optimization methods
    • Cours
      1 Heure(s) hebdo x 14 semaines
    • Exercices
      1 Heure(s) hebdo x 14 semaines

Semaine de référence

LuMaMeJeVe
8-9
9-10EXTRANEF_126
10-11
11-12
12-13
13-14 EXTRANEF_126
14-15
15-16
16-17
17-18
18-19
19-20
20-21
21-22
Cours
Exercice, TP
Projet, autre

légende

  • Semestre d'automne
  • Session d'hiver
  • Semestre de printemps
  • Session d'été
  • Cours en français
  • Cours en anglais
  • Cours en allemand