Data science and convex optimization methods for empirical finance

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  • Fabio Trojani


  • Fabio Trojani


  • Winter School, University of Lugano
  • Date Time Classroom
    02/10/2021 Online


The course is an introduction to recent advances in data science and optimisation methods for studying relevant research questions in finance and economics. A large number of these questions involves solving corresponding convex optimisation problems, derived from suitable objective functions and related constraints, which can be systematically solved in a number of important cases using efficient optimisation techniques. We will provide an introduction to these methods and their applications, with a particular focus on questions related to (i) the solution of relevant financial models and (ii) the use of statistical techniques for analysing the properties of these models with real data.