MATH2070/2970 Optimization and Financial Mathematics
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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): Georg Gottwald
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 description of MATH2070 and the description of 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 (after appointment)
 Georg Gottwald (Carslaw 625): Tuesdays 23PM.
Lectures
Georg Gottwald'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. & nonstandard LP's): Lecture 7, Lecture 8, Lecture 9, Lectures 79 as delivered by David Ivers
Week 4 (Chapter 2, twophase 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, constrained nonlinear optimization; Chapter 5, probability review): Lecture 16, Lecture 17, Lecture 18
Week 7 (Chapter 5, probability review, decisions under uncertainty): Lecture 19, Lecture 20, Lecture 21
Week 8 (Chapter 6, Utility Theory): Lecture 22, Lecture 23, Lecture 24, Lectures 2224 as delivered by David Ivers
Week 9 (Chapter 67, Utility and Portfolio Theory): Lecture 25, Lecture 26 (includes solution for Q3 of Tutorial), Lecture 27
Week 10 (Chaper 7, nAsset portfolios): Lecture 28, Lecture 29
Week 11 (Chapter 7, nAsset portfolios, restricted portfolio): Lecture 30, Lecture 31
Week 12 (Chapter 78, restricted portfolio & CAPM): Lecture 32, Lecture 33, Lecture 34
Extra material on empirical tests of CAPM:
Week 13 (Chapter 8, CAPM): Lecture 35, Lecture 36
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
 You may also play with the MATLAB routine linprog which is part of the standard MATLAB distribution.
Assignment
 Assignment
Submit it STAPLED into a folder with the signed cover sheet as your very first page to the marked box on level 6 opposite the lifts.
 Marked assignments can be collected at the pigeonholes (marked MATH2070 and 2970) on level 6, opposite the lifts, near the assignment collection boxes.
Project
 Project
 Due 5pm Thursday 29th October. Submit it in a folder with a cover sheet, to the marked box on level 6 opposite the lifts.
Quiz
Exam

2012 exam

2012 exam solutions
Q3 (iii) is not for advanced students only!
Since CAPM will not be part of the exam, Q4 is not relevant

Exam formula page

Preexam Consultation Hours:
Friday 13/11 121 pm in Architecture LT 2
Tuesday 17/11 23 pm in Architecture LT 2
MATH2070 students: please check that your marks for Assignment, Quiz and Project have been recorded correctly by pressing the "Check marks" button.
Please note that any corrections to Assignment marks must be made by Friday, Oct 23.
Please note that any corrections to Quiz marks must be made by Friday, Oct 23.
Please note that any corrections to Project marks must be made by Friday, Dec 04.
MATH2970 students: please check that your marks for Assignment, Quiz and Project have been recorded correctly by pressing the "Check marks" button.
Please note that any corrections to Assignment marks must be made by Friday, Oct 23.
Please note that any corrections to Quiz marks must be made by Friday, Oct 23.
Please note that any corrections to Project marks must be made by Friday, Dec 04.
Work, Health and Safety
Work, Health and Safety information for undergraduates
Timetable
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