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Optimisation and Financial Mathematics

MATH2070

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.

Unit of study details

Unit of study level: Intermediate

Credit points: 6

Commencing semesters: 2

Further unit of study information

Unit of study handbook: MATH2070

Costs and scholarships information: Costs and Scholarships

Final dates to withdraw from units of study: Census Dates

Available for study abroad and exchange: Yes

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