Bajaj Family Chair in Operations Research
Carnegie Mellon University
Tepper School of Business
5000 Forbes Avenue
Pittsburgh, PA 15213
Email: j f p at andrew dot
c m u dot e d u
Condition numbers for optimization. Algorithms for convex optimization. Equilibria computation. Applications of optimization in finance and machine learning.
Book: Optimization Methods in Finance, Second Edition, Cambridge University Press
Probability and Statistics, Financial Optimization, Convex Optimization.
Last updated December 2021.