UCL - Operations research : Advanced linear programming

[INMA2472]

[30h + 22.5h] 5 credits

This course is taught in the 1st semester.

This two-yearly course is taught in 2008-2009, 2010-2011,...

Teacher(s): Yves Smeers

Language: English

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

In depth study of the different facets of a particular problem of linear programming, spanning modelling, numerical and economic aspects as well as practical applications.

Main themes

The course concentrates on portfolio management models and linear programming approaches to the pricing of financial derivative

Content and teaching methods

The initial portfolio management problem by quadratic programming
Alterative formulation of risk criteria currently adopted in practice (VaR): modelling, economic and numerical aspects
Alternative models of (coherent) risk criteria, economic and numerical properties, modelling through linear programming; current acceptability of these new methods in practice
Modelling of the derivative pricing problem through linear programming

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Students must have a background in linear programming. The rest of the course is self-contained.