03:30 PM - 05:10 PM
Robust Optimization in Finance
Traditional mathematical finance relies heavily on stochastic models of financial
time histories: stock prices, interest rates, \ldots. We shall emphasize methods
that are less or not at all dependant on such models: uniform interval model for
the dynamic portfolio optimization problem and non-stochastic approaches
of the option pricing problem, for both Black and Scholes and interval models.