M.Sc. thesis on financial optimization

TFMMEM-AliBenJamma.jpgThe student of the master on Mathematical Engineering Mohamed-Ali Ben Jamaa has presented the M.Sc thesis entitled "Optimization techniques applied to finance and risk management", advised by prof. Jordi castro. The abstract of the work is:

Basically, the spirit of finance is typically filled of mathematics, from the simple way as actualising some future cash flows until the most sophisticated techniques while we deal with uncertainty modelling. The matter of this work would consist on demonstrating how some techniques of optimization would be used to model financial processes. In reality, we would mainly focus on topics of portfolio optimization, and assets liabilities management. Techniques as Mathematical Programming and Stochastic Programming would be the key of financial modelling and risk management, implemented using both, AMPL language and methods of Excel spreadsheet engineering .