2018-2020 Undergraduate and Graduate Bulletin (with addenda) 
    
    Mar 28, 2024  
2018-2020 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

FRE-GY 6331 Financial Risk Management & Optimization

1.5 Credits
This course provides solutions to the inter-temporal problems in financial management including management of portfolios, credit risks and market making. Dynamic and stochastic dynamic programming techniques as well as optimal control and stochastic control principles of optimality are presented, and their financial contexts emphasized. Both theoretical and practical facets of inter-temporal management of financial risks and risk pricing are also stressed. The course uses financial and optimization software to solve problems practically.

Prerequisite(s): FRE-GY 6083 FRE-GY 6091  and FRE-GY 6123  and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0