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Financial Optimization, 6 credits
Finansiell optimering, 6 hp
TPPE61
Main field of study
Mathematics Applied Mathematics Industrial Engineering and ManagementCourse level
Second cycleCourse type
Programme courseExaminer
Jörgen BlomvallDirector of studies or equivalent
Fredrik PerssonEducation components
Preliminary scheduled hours: 22 hRecommended self-study hours: 138 h
ECV = Elective / Compulsory / Voluntary
Main field of study
Mathematics, Applied Mathematics, Industrial Engineering and ManagementCourse level
Second cycleAdvancement level
A1XCourse offered for
- Industrial Engineering and Management - International, M Sc in Engineering
- Industrial Engineering and Management, M Sc in Engineering
- Applied Physics and Electrical Engineering, M Sc in Engineering
- Mathematics, Master's programme
- Applied Physics and Electrical Engineering - International, M Sc in Engineering
Entry requirements
Note: Admission requirements for non-programme students usually also include admission requirements for the programme and threshold requirements for progression within the programme, or corresponding.
Prerequisites
Introduction to Operations Researchand Mathematical Statistics, first course (or corresponding courses on other programs). The courses Financial Markets and Instruments, Financial Valuation Methodology , and Portfolio Management are desirable, but not necessary.Intended learning outcomes
To gain insight of how financial decision problems can be solved with an optimization methodology. To give experience of how financial decision problems can be solved with optimization methods. After the course, the student shall:
- explain stochastic programming models
- be able to plan, design and implement financial optimization models (Asset Liability Management models) and evaluate these
- explain Mean-Variance model
- explain Value at Risk, Conditional Value at Risk and Hedging from an optimization perspective
Course content
Stochastic optimization. Mean-Variance model, Conditional Value at Risk and Hedging. Maximal smoothness of interest rate curves.
Teaching and working methods
The course consists of one or two projects, which are solved in a group. The course is not in the timetable. Lectures and guidance support the projects. The contents of the lectures are governed by the project's need. At the seminars the projects are presented and discussed.
Examination
| PRA1 | Project | 6 credits | U, 3, 4, 5 |
Individually written report.
Grades
Four-grade scale, LiU, U, 3, 4, 5Department
Institutionen för ekonomisk och industriell utvecklingDirector of Studies or equivalent
Fredrik PerssonExaminer
Jörgen BlomvallCourse website and other links
http://www.iei.liu.se/prodek/blomvall/Education components
Preliminary scheduled hours: 22 hRecommended self-study hours: 138 h
Course literature
Kompletterande material.| Code | Name | Scope | Grading scale |
|---|---|---|---|
| PRA1 | Project | 6 credits | U, 3, 4, 5 |
Individually written report.
Regulations (apply to LiU in its entirety)
The university is a government agency whose operations are regulated by legislation and ordinances, which include the Higher Education Act and the Higher Education Ordinance. In addition to legislation and ordinances, operations are subject to several policy documents. The Linköping University rule book collects currently valid decisions of a regulatory nature taken by the university board, the vice-chancellor and faculty/department boards.
LiU’s rule book for education at first-cycle and second-cycle levels is available at http://styrdokument.liu.se/Regelsamling/Innehall/Utbildning_pa_grund-_och_avancerad_niva.
Course literature is preliminary.
Kompletterande material.
Note: The course matrix might contain more information in Swedish.
I = Introduce, U = Teach, A = Utilize
| I | U | A | Modules | Comment | ||
|---|---|---|---|---|---|---|
| 1. DISCIPLINARY KNOWLEDGE AND REASONING | ||||||
| 1.1 Knowledge of underlying mathematics and science (G1X level) |
|
|
X
|
PRA1
|
||
| 1.2 Fundamental engineering knowledge (G1X level) |
|
|
X
|
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| 1.3 Further knowledge, methods, and tools in one or several subjects in engineering or natural science (G2X level) |
|
X
|
X
|
PRA1
|
||
| 1.4 Advanced knowledge, methods, and tools in one or several subjects in engineering or natural sciences (A1X level) |
|
|
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| 1.5 Insight into current research and development work |
|
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| 2. PERSONAL AND PROFESSIONAL SKILLS AND ATTRIBUTES | ||||||
| 2.1 Analytical reasoning and problem solving |
X
|
X
|
X
|
PRA1
|
||
| 2.2 Experimentation, investigation, and knowledge discovery |
|
|
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| 2.3 System thinking |
X
|
X
|
X
|
PRA1
|
||
| 2.4 Attitudes, thought, and learning |
|
|
X
|
PRA1
|
||
| 2.5 Ethics, equity, and other responsibilities |
|
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| 3. INTERPERSONAL SKILLS: TEAMWORK AND COMMUNICATION | ||||||
| 3.1 Teamwork |
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|
X
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| 3.2 Communications |
|
|
X
|
PRA1
|
||
| 3.3 Communication in foreign languages |
|
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| 4. CONCEIVING, DESIGNING, IMPLEMENTING AND OPERATING SYSTEMS IN THE ENTERPRISE, SOCIETAL AND ENVIRONMENTAL CONTEXT | ||||||
| 4.1 External, societal, and environmental context |
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| 4.2 Enterprise and business context |
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| 4.3 Conceiving, system engineering and management |
|
X
|
X
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PRA1
|
||
| 4.4 Designing |
|
X
|
X
|
PRA1
|
||
| 4.5 Implementing |
|
X
|
X
|
PRA1
|
||
| 4.6 Operating |
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| 5. PLANNING, EXECUTION AND PRESENTATION OF RESEARCH DEVELOPMENT PROJECTS WITH RESPECT TO SCIENTIFIC AND SOCIETAL NEEDS AND REQUIREMENTS | ||||||
| 5.1 Societal conditions, including economic, social, and ecological aspects of sustainable development for knowledge development |
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| 5.2 Economic conditions for knowledge development |
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| 5.3 Identification of needs, structuring and planning of research or development projects |
|
|
X
|
PRA1
|
||
| 5.4 Execution of research or development projects |
|
|
X
|
PRA1
|
||
| 5.5 Presentation and evaluation of research or development projects |
|
|
X
|
PRA1
|
||
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