ISE 347/447: Financial Optimization
Miscellaneous Handouts and Course Information
Lecture Slides
- Preliminaries
- Lecture 1: Introduction
- Lecture 2: Course Overview
- Lecture 3: Introduction to AMPL
- Lecture 4: Linear Programming, Dedication, and Cash Flow Matching
- Lecture 5: Duality and Asset Pricing
- Lecture 6: Option Pricing and Arbitrage Detection
- Lecture 7: Introduction to Portfolio Optimization
- Lecture 8: Markowitz Portfolio Models
- Lecture 9: Efficient Portfolios and the Market Price of Risk
- Lecture 10: Nonlinear Programming, Optimality Conditions, and Duality
- Lecture 11: Interior Point Methods for Convex Quadratic Programs
- Lecture 12: Parameter Estimation in Portfolio Optimization
- Midterm Review Slides
- Lecture 13: Modeling with Integer Variables
- Lecture 14: Solution Methods for Integer Programs
- Lecture 15: Constructing an Index Fund
- Lecture 16: Dynamic Programming
- Lecture 17: Option Pricing Revisited
- Lecture 18: Structuring Collateralized Mortgage Obligations
- Lecture 19: Stochastic Optimization
- Lecture 20: Multi-stage Stochastic Programming with Recourse
- Lecture 21: More Stochastic Programming
- Lecture 22: The L-Shaped Method
- Lecture 23: Sample Average Approximation
- Lecture 24: Conditional Value at Risk
Models from Lecture
- Bond Selection
- Python
- AMPL
- Short Term Financing
- Python
- AMPL
- Dedication
- Python
- AMPL
- ZMPL
- Arbitrage Detection
- Portfolio Optimization
- Python
- AMPL
- CMOs.xls
- CMOSmall.xls
- DE.mod
- DE.dat
- randomLP.mod
- saa.run
- saa.mod
Scripts
- yahoo.py (a Python package for downloading quotes from Yahoo)
- returns.py (script for downloading returns data)
Software
Reference Texts
- Course Text: Optimization Methods in Finance, by Cornuejols and Tutuncu, Cambridge University Press (2007).
- Optimization in Operations Research, R.L. Rardin, Prentice Hall (1997).
- Introduction to Mathematical Programming, W.L. Winston and M. Venkataramanan, Duxbury Press (2002).
- AMPL: A Modeling Language for Math Programming, R. Fourer, D. M. Gay, and B. W. Kernighan, Duxbury Press (1999).
- Operations Research Models and Methods, P. Jensen — a fantastic on-line introduction to OR including Excel add-ins.
- Model Building in Mathematical Programming, H.P. Williams, Wiley (1999).
- How to Model It: Problem Solving for the Computer Age, K.A. Smith and A.L. Bleloch (1984).
On-line References
- Collateralized Mortgage Obligations
- Portfolio Optimization
- Risk Measures
AMPL Pointers
- AMPL Web site
- AMPL Book: Chapter 1
- A Modeling Language for Mathematical Programming
- Submitting AMPL models over the Web
- Examples using AMPL — includes the McDonald’s Diet Problem
- AMPL in Action (Case Studies using AMPL)
- New Features Page (useful reference)
- List of built-in suffixes
- AMPL/CPLEX Reference Guide
Tutorials and Guides
- What is Operations Research? — The Bureau of Labor Statistics’ over view of this career field
- INFORMS Web site — the professional society for Operations Research and Management Science (OR/MS)
- INFORMS News Room — lots of information about OR/MS
- The INFORMS OR/MS Resource Collection — an extensive collection of OR links
- INFORMS Student Union — INFORMS resources for students
- The World of Operations Reearch and Management Science
- Math World — an amazing on-line mathematics encyclopedia.
- The INFORMS OR/MS Resource Collection — an extensive collection of OR links
- NEOS Guide — a good overview of optimization
- e-Optimization.com
- Harvey Greenburg’s Courseware Page
- Harvey Greenburg’s Mathematical Programming Glossary
- Guide to Optimization Software
- IFORS tutORial Project
- The Traveling Salesman Problem — a page devoted to the world’s best-known optimization problem
- J.E. Beaseley’s OR Notes
Interactive Optimization
- NEOS Server — solve optimization problems over the Web
- NEOS Case Studies — includes an interactive version of the Diet Problem
- Tutorial on Spreadsheet Optimization
- The Remote Interactive Optimization Testbed (RIOT) Page
- NEOS Java Graphical LP Solver
- LP exlorer — 2 dimensional linear programs
- List of Java Applets at the INFORMS Resources site
Case Studies
- Math Programming in Action
- Cap Gemini Enrst and Young Case Studies Database
- LINDO Model Library
- Application Showcase at e-optimization.com
- Facility location case study
- NEOS Case Studies — includes an interactive version of the Diet Problem
List of Pointers to More Sites
- Introduction to Optimization course at MIT — lots of good pointers to sites about optimization.
- OR/MS pointers at OpsResearch.com
- Yahoo’s Operations Research page
- John Mitchell’s optimization pointers
- Kevin Wayne’s OR/CS links
If you find something here useful, buy me a beer!