University of Colorado Denver University of Colorado Denver College of Liberal Arts and Sciences
Alexander Engau

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Email: Alexander [dot] Engau
[at] UCDenver [dot] edu

Phone: [+1] (303) 315-1719
Fax: [+1] (303) 315-1704

Office: SCB 4223
1201 Larimer Street
Denver, Colorado 80204

Mail: UCD Math & Stats
C Box 170, PO Box 173364
Denver, CO 80217-3364

Alexander Engau

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Alexander Engau, Assistant Professor

Math 7925 Readings: Optimization (Stochastic Programming)

Course Description [Syllabus]

Students will learn about stochastic programming and investigate specific applications of its theory and methodology to problems in mathematical finance.

Student Expectations

Students are required to independently study selected topics and give weekly presentations to instructor and other interested participants. Presentations can be given at the board, and students should be prepared to ask and answer questions about the material being discussed. In addition, students may occasionally be asked to turn in written solutions to selected problems or exercises. At the end of the term, students are required to present a final seminar talk that summarizes, extends, or applies the materials learned.

Reading Materials

The selected topics are chosen from the following three monographs:

  1. John R. Birge, Francois Louveaux, Introduction to Stochastic Programming, Second Edition, Springer Series in Operations Research and Financial Engineering, Springer, New York, 2011.
  2. Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski, Lectures on Stochastic Programming. Modeling and Theory, MPS/SIAM Series on Optimization, Volume 9, Mathematical Programming Society/Society for Industrial and Applied Mathematics, Philadelphia, PA, 2009.
  3. Gerard Cornuejols, Reha Tütüncü, Optimization Methods in Finance, Mathematics, Finance and Risk, Volume 5, Cambridge University Press, Cambridge, 2007.