Imperial College London

DR PANOS PARPAS

Faculty of EngineeringDepartment of Computing

Reader in Computational Optimisation
 
 
 
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Contact

 

+44 (0)20 7594 8366panos.parpas Website

 
 
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Location

 

357Huxley BuildingSouth Kensington Campus

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Summary

 

Computational Finance - CO422

Aims

In this module you will have the opportunity to:

  • Be introduced to the fundamental models and mathematical theories to computer science and engineering students.


In particular, in this module you will have the opportunity to learn to:

  • Understand the time value of money.
  • Price derivatives using arbitrage pricing theory
  • Optimally design investment strategies that trade-off risk with rewards
  • Use efficient numerical methods to solve optimisation models and simulate stochastic processes

Role

Course Leader

Computational Optimisation - CO477

Aims

In this module you will have the opportunity to:

  • learn numerical methods for the solution of non-linear optimisation problems
  • apply optimisation in engineering (e.g., the design of energy efficient chemical processes), machine learning (e.g., learning classifiers from data), and finance (e.g., optimal portfolio allocation)
  • use analytical techniques and numerical algorithms to solve constrained and unconstrained problems
  • identify convexity in a mathematical model and appreciate the importance of convexity both in theory and in practice
  • identify necessary and sufficient conditions of optimality for different classes of optimisation models
  • be able to apply an appropriate numerical method given the characteristics of the optimisation model
  • understand the meaning of Lagrange multipliers
  • be able to implement first/second order methods for constrained and unconstrained models   

Role

Course Leader