Computational Methods and Optimization in Finance, FIN 550

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:

Final Exam Answers

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

Practice Exam

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

Practice Exam Answers