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Unit of study_

MATH2970: Optimisation and Financial Mathematics Adv

The content of this unit of study parallels that of MATH2070, but students enrolled at Advanced level will undertake more advanced problem solving and assessment tasks, and some additional topics may be included.

Code MATH2970
Academic unit Mathematics and Statistics Academic Operations
Credit points 6
Prerequisites:
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[MATH19X1 or MATH1906 or (a mark of 65 or above in MATH1021 or MATH1001)] and [MATH1902 or (a mark of 65 or above in MATH1002)]
Corequisites:
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None
Prohibitions:
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MATH2070
Assumed knowledge:
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MATH19X3 or MATH1907 or a mark of 65 or above in MATH1003 or MATH1023

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 outlines

Unit outlines will be available 2 weeks before the first day of teaching for the relevant session.