MATH2070/2970 Optimization and Financial Mathematics

General Information

This page contains information on the Intermediate Unit of Study MATH2070 Optimization and Financial Mathematics and MATH2970 Optimization and Financial Mathematics (advanced). Note that MATH2070 and MATH2970 share the same classes.

This unit is offered in Semester 2.

Lecturer(s): Andrew Papanicolaou

For further information on Intermediate Mathematics and Statistics, refer to the Intermediate Handbook. In particular, see the MATH2070/2970 handbook entry for further information relating to MATH2070 and MATH2970.

You may also view the Faculty Handbook entry for MATH2070 and the Faculty Handbook entry for MATH2970 in the central units of study database.

  • Credit point value: 6CP.
  • Classes per week: Three lectures, one tutorial and one computer laboratory session.

Email enquiries about MATH2070 may be sent to MATH2070@maths.usyd.edu.au.

Students: Please give your name and SID when emailing us. Anonymous emails will not be replied to.

Online Resources

Course Information

  • Course Information
  • Printed Lecture Notes (including tutorial sheets and computer lab sheets) for MATH2070/2970 Optimisation and Financial Mathematics by PW Buchen and DJ Ivers will be available from KopyStop, Shop 3/55 Mountain St, Broadway.

Weekly Consultations (no appointment required)

  • Andrew Papanicolaou (Carslaw 716): Tuesdays 12-1PM.

Lectures

Lecture recordings available here. Andrew Papanicolaou's handwritten notes here:
Week 1 (Chapter 1, optimizing differentiable functions): Lecture 1, Lecture 2, Lecture 3
Week 2 (Chapter 2, standard linear programs): Lecture 4, Lecture 5, Lecture 6,
Week 3 (Chapter 2, simplex alg. & non-standard LP's): Lecture 7, Lecture 8, Lecture 9
  • SIAM news article: A Smale Challenge Problem Edges Toward Solution
    Week 4 (Chapter 2, two-phase alg. & dual problem): Lecture 10, Lecture 11, Lecture 12
    Week 5 (Chapter 3, nonlinear optimization): Lecture 13, Lecture 14, Lecture 15
    Week 6 (Chapter 4, Lagrangians): Lecture 16, Lecture 17, Lecture 18
    Week 7 (Chapter 5, Probability Review): Lecture 19, Lecture 20, Lecture 21
    Week 8 (Chapter 6, Utility Theory): Lecture 22, Lecture 23, Lecture 24
    Week 9 (Chapter 7, Portfolio Theory): Lecture 25, Lecture 26, Lecture 27
  • SIAM news article: Devising Optimization Algorithms for Machine Learning
    Week 10 (Chaper 7, n-Asset Portfolios): Lecture 28, Lecture 29
    Week 11 (Chapter 7-8, restricted portfolio & CAPM): Lecture 30, Lecture 31
  • SIAM news article: Harold Kuhn (1925-2014)
    Week 12 (Chapter 8, CML & 1-Fund THM): Lecture 32, Lecture 33

    Tutorials

    Tutorials start in week 2. Solutions:

    Computer Labs

    Computer labs start in week 2. Solutions Some instructions on how to generate plots and reports in Matlab, and an example output.
    Duncan Sutherland's brief guide to Matlab. Please note that Duncan is no longer a tutor for MATH 2070, so it is inappropriate to email him with queries on this course.

    Matlab Routines

    Assignment

    • Solutions
    • Marked assignments can be collected at the pigeonholes (marked MATH2070 and 2970) on level 6, opposite the lifts, near the assignment collection boxes.

    Quiz

    UPDATE: due to the fire alarm sounding at the scehduled quiz time, the quiz is rescheduled for Tuesday lecture in week #12 (Tuesday 1PM, Carlslaw 159)

    Project

    • Project
    • Due 5pm Thursday 30th October. Submit it in a folder with a cover sheet, to the marked box on level 6 opposite the lifts.

    Sample exams

    2012 exam
    2012 exam solutions
    Exam formula page

    Work, Health and Safety

    Work, Health and Safety information for undergraduates

    Timetable

    Last revised 08/10/14

    MATH2070MondayTuesdayWednesdayThursdayFriday
    10am Lecture
    157
    A.Papanicolaou
    Tutorial
    452
    (Wks 2-13)
    DJ.Ivers
    W.Wu
    Lecture
    157
    A.Papanicolaou
     
     
    11am Tutorial
    451
    (Wks 2-13)
    L.Klinger
    Tutorial
    451
    (Wks 2-13)
    DJ.Ivers
    W.Wu
     
     
     
       
    Computer Laboratory
    705/706
    (Wks 2-13)
    J.Ching
     
     
     
    noon Tutorial
    451
    (Wks 2-13)
    A.Papanicolaou
    Computer Laboratory
    729/730
    (Wks 2-13)
    J.Ching
    Tutorial
    452
    (Wks 2-13)
    DJ.Ivers
    W.Wu
     
     
    1pm Computer Laboratory
    729/730
    (Wks 2-13)
    A.Papanicolaou
    Lecture
    159
    A.Papanicolaou
     
     
     
    2pm Computer Laboratory
    729/730
    (Wks 2-13)
    L.Klinger
    Computer Laboratory
    729/730
    (Wks 2-13)
    J.Ching
     
     
     
  • For questions or comments please contact webmaster@maths.usyd.edu.au