Monday, May 10

Application of Optimization in Financial Models

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

10:45-11:10 UpdatedCash Management -- A Stochastic Multistage Linear Program
Karl Frauendorfer and Olivier Schmid, University of St. Gallen, Switzerland
11:15-11:40 Exploiting Local and Global Sparsity in Multistage Stochastic Programs
Marc C. Steinbach, Konrad-Zuse-Zentrum für Informationstechnik, Berlin, Germany
11:45-12:10 Management of Savings Accounts by Stochastic Optimization
Karl Frauendorfer and Michael Schürle, University of St. Gallen, Switzerland
12:15-12:40 Efficient Numerical Solution for Neural Networks in Forecasting
Michaela Schulze and Ekkehard W. Sachs, Organizers

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MMD, 3/12/99