Optimization Models in Quantitative Finance
Reha Tuntuncu
Mathematical Sciences, Carnegie Mellon University
| Time:
01:00pm - 02:00pm |
Location: MP 401 |
Abstract:
Optimization models and methods play an increasingly important
role in financial decision making. Many problems in quantitative finance
including asset allocation, risk management, derivative pricing, and model
fitting are now routinely and efficiently solved using modern
optimization techniques. In this talk, we will survey some examples
of such problems we studied in our recent work. In particular, we will
describe our models for robust asset allocation, determination of
robust profit opportunities, estimation of risk-neutral densities
using option prices, and returns-based estimation of sector allocations.
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