May 21, 2013, 4:00pm
Yang Song, Department of Mathematics, University of Washington
Stochastic Programming in Finance
Abstract: In financial markets, many assets have seemingly random behavior, such as the price of stocks, options and commodities. Therefore, financial optimization problems are often formulated as stochastic optimization problems, i.e. stochastic programming problems. This presentation introduces 3 of such financial optimization problems: credit risk optimization, asset/liability management and synthetic options, and discusses the corresponding stochastic programming models and algorithms.