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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 6771 Financial Optimization Techniques

1.5 Credits
The course introduces optimization concepts intended for coping with financial stochastic processes. The course involves both numerical analysis with commercial solvers and analytical approaches for gaining insights into underlying problems. The course covers three major optimization areas: convex optimization, non-convex optimization and stochastic programming. Conceptual frameworks and techniques are taught through applications and problems in financial engineering and management.

Prerequisite(s): FRE-GY 6311  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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