Optimization's place in quant fin.

[MikeLawrence]

What place does optimization have in quantitative finance, practically.

I'd assume portfolio optimization, for some parameters, but what techniques are important? I'm not at a place where I'm going to be learning this much, I'm just interested.

Optimal control? Transport? These terms don't mean much to me, but I'd like to procrastinate by learning some surface level things.

Can anyone give me a fun lay-of-the-land?

 

[Daniel Duffy]

Big area.

This might be one entry point

 

[MikeLawrence]

Big area.

Can you give me anything not on Youtube? My devices have a strange refusal to do anything but buffer on that website.

I'll try to steal someone else's laptop.

 

[Daniel Duffy]

Optimisation is soo important

https://m.media-amazon.com/images/I/61RMTGsXzPL._SY466_.jpg

https://www.datasim.nl/application/files/5915/4999/4170/DL_Applied_Numerical_Methods_II.pdf

“Nothing takes place in the world whose meaning is not that of some maximum or minimum.”
― Leonhard Euler

 

[MikeLawrence]

Optimisation is soo important

https://www.datasim.nl/application/files/5915/4999/4170/DL_Applied_Numerical_Methods_II.pdf

“Nothing takes place in the world whose meaning is not that of some maximum or minimum.”
― Leonhard Euler

I still have no internship this summer, and your ANM course is still top of the list on things to tackle. I'll keep you updated, obviously, but good chance I take it on.

Also on base:
Refresh the stuff in Axlers Linear Algebra done right
Refresh Classical Statistical Inference
Learn Python so I don't get given another technical interview I can't pass...

Odds are only 2, maybe part of 3, of these get done before the start of the fall term. If I want to do them right.