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Undergraduate Study

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): Ben Goldys

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)

  • Ben Goldys (Carslaw 709): Monday 11-12.

Lectures

Lecture recordings available here. Ben Goldys handwritten notes are 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
Week 4 (Chapter 2, two-phase alg. & dual problem): Lecture 10, Lecture 11, Lecture 12,
  • On the economic interpretation of the dual problem

    Week 5 (Chapter 3, nonlinear optimization): Lecture 13 Lecture 14 Lecture 15
    Week 6 (Chapter 5, probability review, decisions under uncertainty): Lectures 16-18
    Week 7 (Chapter 6, Utility Theory): Lecture 19, Lecture 20, Lecture 21
    Week 8 (Chapter 7, Portfolio Theory): Lecture 22, Lectures 23-24,
  • Reading material about stock price correlations
    Week 9 (Chapters 6-7, Utility and Portfolio Theory): Lecture 25, Lecture 26, Lecture 27
    Week 10 (Chaper 7, n-Asset portfolios): Lecture 28, Lectures 29-30
    Week 11 (Chapter 8, CAPM): Lecture 31, Lecture 32, Lecture 33,
  • Chapter from Modern Investment Theory by Robert Haugen
  • The research article by Black, Jensen and Scholes, in Studies in the Theory of Capital Markets. Michael C. Jensen, ed. New York: Praeger, pp. 79–121
  • The research article by Fama and French, Journal of Economic Perspectives, 18(3): 25-46
    Week 12 (Chapter 9, Dynamic Programming): Lecture 34, Lectures 35-36
    Week 13 (Dynamic Programming): Lecture 37, Lecture 38
  • Sample Exam Questions and Solutions
  • Formulat Sheet
  • Exam Consultation: Wednesday 9 November 10-12 Carslaw 709 DON'T FORGET TO BRING AN APPROVED NON-PROGRAMMABLE CALCULATOR TO THE EXAM

    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

    Project

    • Project
    • Due 5pm Thursday Week 12, 21th October on Turnitin..

    Quiz

    Check your marks

    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 17 October 2016.
    Please note that any corrections to Quiz marks must be made by Friday, Oct 14.
    Please note that any corrections to Project marks must be made by Friday, Nov 25.

    Check your marks

    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 14.
    Please note that any corrections to Quiz marks must be made by Friday, Oct 14.
    Please note that any corrections to Project marks must be made by Friday, Nov 25.

    Timetable

    Show timetable / Hide timetable.