Optimisation and Financial Mathematics (MATH2070)

UNIT OF STUDY

Problems in industry and commerce often involve maximising profits or minimising costs subject to constraints arising from resource limitations. The first part of this unit looks at programming problems and their solution using the simplex algorithm; nonlinear optimisation & the Kuhn Tucker conditions.
The second part of the unit deals with utility theory and modern portfolio theory. Topics covered include: pricing under the principles of expected return and expected utility; mean-variance Markowitz portfolio theory, the Capital Asset Pricing Model, log-optimal portfolios and the Kelly criterion; dynamical programming. Some understanding of probability theory including distributions and expectations is required in this part.
Theory developed in lectures will be complemented by computer laboratory sessions using MATLAB. Minimal computing experience will be required.

Our courses that offer this unit of study

Further unit of study information

Classes

Three 1 hour lectures, one 1 hour tutorial and one 1 hour computer laboratory per week.

Assessment

One 2 hour exam, assignments, quiz, project (100%)

Faculty/department permission required?

No

Unit of study rules

Prerequisites and assumed knowledge

(MATH1011 or MATH1001 or MATH1901 or MATH1906) and (MATH1014 or MATH1002 or MATH1902)

MATH1003 or MATH1903 or MATH1907

Prohibitions

MATH2933, MATH2970, MATH2033, ECMT3510, MATH2010

Study this unit outside a degree

Non-award/non-degree study

If you wish to undertake one or more units of study (subjects) for your own interest but not towards a degree, you may enrol in single units as a non-award student.

Cross-institutional study

If you are from another Australian tertiary institution you may be permitted to underake cross-institutional study in one or more units of study at the University of Sydney.