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Unit of study_

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 and 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.

Classes
3x1-hr lectures; 1x1-hr tutorial; and 1x1-hr computer lab/wk

Assessment
1 x2 exam (70%) , 1 x assignments (10%), 1 x quizzes (10%); 1 x computational project (10%). To pass the course at least 50% in the final exam is necessary.

Additional information
Students may enrol in both MATH2070 and MATH3075 in the same semester

Assumed knowledge
MATH1X23 or MATH1933 or MATH1X03 or MATH1907

Pre-requisites

(MATH1X21 or MATH1011 or MATH1931 or MATH1X01 or MATH1906) and (MATH1014 or MATH1X02)

Prohibitions

MATH2010 or MATH2033 or MATH2933 or MATH2970 or ECMT3510

Details

Faculty: Science

Semester 2

05 Aug 2019

Department/School: Mathematics and Statistics Academic Operations
Study Mode: Normal (lecture/lab/tutorial) day
Census Date: 31 Aug 2019
Unit of study level: Intermediate
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
More details
Unit of Study coordinator: Prof Martin Wechslberger
HECS Band: 2
Courses that offer this unit

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 undertake cross-institutional study in one or more units of study at the University of Sydney.

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