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

    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

  • For questions or comments please contact webmaster@maths.usyd.edu.au