Course Term: Hilary
Course Lecture Information: 16 lectures
Course Overview:
Optimisation problems occur naturally in portfolio selection, risk management and algorithmic trading. Participants of this course learn from basic concepts and tricks in formulation of optimisation problems into specific form through a series of example models from mathematical finance, and solve those problems by software. The course will also cover classical optimisation algorithm and the duality theorem for general convex optimisation.
Course Synopsis:
[1] Optimisation terminology, classification of problems, optimality conditions.
[2] Convex and Conic programming modelling.
[3] Lift-and-Project idea and examples.
[4] Newton's method.
[5] Penalty method and barrier method for convex programming
[6] Optimisation with constraints Convex duality.
[7] Robust portfolio optimisation.