10:45 AM-12:45 PM
Room: Capitol South
The development of mathematical models in finance has become a thriving area of research. Various problems include the use of optimization - both in a theoretical and numerical way. In this minisymposium, the speakers will present several applications where optimization is needed. This includes subjects like forecasting, option pricing and portfolio optimization. Special techniques in numerical optimization like SQP methods or nonlinear least squares solvers have to be developed to provide a basis for an efficient numerical solution. Similarly, new approaches in stochastic optimization are fundamental for the mathematical modelling in finance.
Organizers: Ekkehard W. Sachs and Michaela Schulze
Universität Trier, Germany