Applied Mathematics 2:        MATH 2070/2970 (Advanced)

 

Optimisation and Financial Mathematics:    Course Outline 2009

 

 

Lecturers:       Dr Robert Crossman                Contact:          Room: Carslaw 621

Phone: 9351 2970

Email: bobc@maths.usyd.edu.au

Consultation:  Monday 12–1 Carslaw 707A (weeks 1–7)

 

A/Prof Georg Gottwald            Contact:          Room: Carslaw 625

Phone: 9351 5784

Email: gottwald@maths.usyd.edu.au

 

Structure and Teaching Methods

 

Lectures (three per week):

Mon 10–11 Carslaw 175               Tue  1–2  Carslaw 175                Wed  10–11  Carslaw 175

 

Tutorials (one per week beginning Monday 3rd August):

Mon  2–3  Carslaw 359                 Tue 10–11 Law 105                    Tue  11–12 Carslaw 359

 

Computer Labs (one per week beginning Monday 4th August):

Mon  2–3  Carslaw 610/611          Tue 12–1 Carslaw 610/611         Tue  2–3  Carslaw 610/611

 

 

Main Topics (Details are given below.)

 

1)         Linear Programming and the Simplex Algorithm

2)         Unconstrained Nonlinear Optimisation

3)         Constrained Nonlinear Optimisation

4)         Risky Assets and Utility Theory

5)         Portfolio Theory

6)         CAPM

7)         Dynamic Programming

 

 

Background

 

Prerequisites: MATH(1001 or 1901 or 1906) and MATH(1002 or 1902)

Assumed Knowledge: MATH(1003 or 1903 or 1907)

 

MATH(1005 or 1905) would be helpful but the probability theory needed will be covered in the lectures.

   

No programming (e.g. MATLAB) skills are assumed.

 

 

Assessment

 

1) Assignment:    10%   due 5pm Wednesday 16th  September (Note changed submission date)

2) Quiz: 10%  to be held in lectures in the week beginning 21st September

3) Project: 10%  due 5pm Thursday 29th October

5) Exam: 70%

          

Due dates are provisional and  may vary. Adequate notification will be given.

 

 

Printed Lecture Notes with tutorial sheets and computer lab sheets (first half) available from KopyStop

 

Applied Mathematics 2

MATH2070/2970 Optimisation and Financial Mathematics

Lecture Notes 2009

PW Buchen and DJ Ivers

 

Handouts:       Computer Lab sheets (second half), assignment sheet, project sheet.

 

Web Material:            Tutorial, lab, assignment and project sheets will be available on the course web page, accessible from the Intermediate Mathematics web-page:

                                    http://www.maths.usyd.edu.au:8000/u/UG/IM/

Solutions tutorials and computer labs will be available on the web the following week.