Stochastic optimization in finance

The short course provides an introduction to a growing applied field in optimization, specifically designed to handle decision problems under uncertainty. Linear and nonlinear stochastic programming have found an ideal application area, to name just few of them, in the formulation and solution of complex asset-liability management problems, strategic asset allocation by institutional investors, real portfolio management under realistic modelling assumptions. The lectures will concentrate on the definition of discrete dynamic stochastic programs with finite horizon and its key modelling and theoretical elements and then we will present more in detail two relevant recent applications with dedicated stochastic models: (i) optimal households ALM and (ii) optimal bond portfolio management.