Unit of study_

MATH2070: Optimisation and Financial Mathematics

2025 unit information

Problems in industry and commerce often involve maximising profits or minimising costs subject to constraints arising from resource limitations. The first part of this unit looks at programming problems and their solution using the simplex algorithm; nonlinear optimisation and the Kuhn Tucker conditions. The second part of the unit deals with utility theory and modern portfolio theory. Topics covered include: pricing under the principles of expected return and expected utility; mean-variance Markowitz portfolio theory and the Capital Asset Pricing Model. Some understanding of probability theory including distributions and expectations is required in this part. Theory developed in lectures will be complemented by computer laboratory sessions using Python. Minimal computing experience will be required.

Unit details and rules

Science

 Prerequisites: ? [(MATH1061 or MATH1961 or MATH1971) and (MATH1062 or MATH1962 or MATH1971)] or [(MATH1X21 or MATH1011 or MATH1931 or MATH1X01 or MATH1906) and (MATH1014 or MATH1X02)] None MATH2970 Multivariable calculus such as MATH1X23 or MATH1X62

At the completion of this unit, you should be able to:

• LO1. demonstrate familiarity with the concepts in linear programming (standard and non-standard) and simplex algorithm, and apply them to solve concrete problems
• LO2. demonstrate familiarity with the concepts in non-linear optimisation without constraints. Explain how the rule based on Hessian can be used to determine minima and maxima, and apply it to solve concrete problems
• LO3. demonstrate familiarity with the concepts in non-linear optimisation with constraints, and apply suitable methods (Lagrange multipliers and KKT conditions) to solve concrete problems
• LO4. demonstrate understanding of the notions from utility theory and explain the difference between principles of expected return and expected utility. Apply this knowledge to solve practical problems
• LO5. demonstrate a coherent and advanced knowledge of the fundamental concepts in portfolio theory and capital asset pricing model
• LO6. identify, formulate and solve original practical problems that can be addressed using mathematical and computational techniques you learned in this unit.

Unit availability

This section lists the session, attendance modes and locations the unit is available in. There is a unit outline for each of the unit availabilities, which gives you information about the unit including assessment details and a schedule of weekly activities.

The outline is published 2 weeks before the first day of teaching. You can look at previous outlines for a guide to the details of a unit.

Session MoA   Location Outline
Semester 2 2024
Normal day Camperdown/Darlington, Sydney
Session MoA   Location Outline
Semester 2 2025
Normal day Camperdown/Darlington, Sydney
Outline unavailable
Session MoA   Location Outline
Semester 2 2020
Normal day Camperdown/Darlington, Sydney
Semester 2 2021
Normal day Camperdown/Darlington, Sydney
Semester 2 2021
Normal day Remote
Semester 2 2022
Normal day Camperdown/Darlington, Sydney
Semester 2 2022
Normal day Remote
Semester 2 2023
Normal day Camperdown/Darlington, Sydney

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Modes of attendance (MoA)

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