Semester 2, 2014

MATH2970 Optimisation and financial mathematics advanced typed lecture notes

74 pages

8,300 words




Typed using word equation editor, as well as diagrams using the drawing canvas.

Optimisation: Differentiable functions, linear programming (simplex algorithm, adaption of simplex algorithm, dual problem, duality); Non linear optimisation(taylor polynomials, hessian matrix), non linear optimisation with constraints (Lagrange method/ Lagrange dynamics, Karush Kunk tucker conditions)

Financial maths: Probability, risky securities and utility theory, portfolio theory