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Apr 27, 2024
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2011-2013 Undergraduate and Graduate Catalog (with addenda) [ARCHIVED CATALOG]
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FRE 6331 Financial Risk Management and Optimization1.5 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 6083 , FRE 6091 and FRE 6123 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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