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New York University Polytechnic School of Engineering    
 
    
 
  Jan 16, 2018
 
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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FRE-GY 6331 Financial Risk Management and 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 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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