Philip H. Dybvig

Washington University in Saint Louis

I will be grading the finals over the weekend. In the meantime, here are the exam and the answer sheet:

**Welcome** to Financial Optimization! This course introduces
optimization models that are pervasive in financial theory and practice, with
a focus on the tools and numerical techniques that are useful in practice..
The concepts, tools and applications promise to make this a great term!

I recommend that you print a set of slides before class for taking notes and solving in-class exercises. One topic corresponds to a week or a little more.

Topic 1: Course Perspectives, General Concepts, and Kuhn-Tucker conditions

...Lecture 0 pdf slides size 37K

...Lecture 1 pdf slides size 79K

...Kuhn-Tucker Conditions pdf notes size 38K

...Problem Set 1 47K

...Selected Problem Set Answers 59K

...Shashwat's help 162K

Topic 2: Linear Programming

...Lecture 2 pdf slides size 38K

...xls Pension Asset/Liability Example size 47K

...xls Cash Mgmt Example size 48K

...Problem Set 2 size 36K

...Selected Problem Set Answers size 37K

Topic 3: Duality and Fundamental Theorem of Asset Pricing

...Lecture 3 pdf slides size 89K

...Problem Set 3 size 21K

...Selected Problem Set Answers size 36K

Topic 4: Markov Switching Models

...eigenvalues and eigenvectors pdf slides size 50K

...regime-switching models pdf slides size 58K

...Problem Set 4 size 28K

...Selected Problem Set Answers size 40K

Topic 5: X-treme Review based on previous slides

This is the new-and-improved practice exam focusing only on topic we covered and including a problem on regime-switching.