Postgraduate Course: Mathematical Programming (MATH11066)
Course Outline
School |
School of Mathematics |
College |
College of Science and Engineering |
Course type |
Standard |
Availability |
Available to all students |
Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
7.5 |
Home subject area |
Mathematics |
Other subject area |
Financial Mathematics |
Course website |
http://student.maths.ed.ac.uk |
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Course description |
This course will introduce optimisation techniques which are important in several areas of financial mathematics. In particular, demonstrate methods for formulating problems in mathematical programming terms and to understand techniques for solving mathematical programming models. |
Entry Requirements
Pre-requisites |
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Co-requisites |
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Prohibited Combinations |
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Other requirements |
None
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Additional Costs |
None |
Course Delivery Information
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Delivery period: 2010/11 Semester 2, Not available to visiting students (SS1)
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WebCT enabled: No |
Quota: None |
Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
No Classes have been defined for this Course |
First Class |
First class information not currently available |
Summary of Intended Learning Outcomes
On completion of this course the student should be able to:
! understand the various linear programming methods;
! understand the theoretical characterisations of optimality: KKT conditions, duality;
! show how optimisation methods can be applied to portfolio selection problems;
! have a critical understanding of the scope and limitations of various mathematical optimization techniques;
! formulate an optimisation problem and identify an appropriate solution method;
! solve linear programming problems;
! solve simple asset and liability problems;
! understand how to use a programming tool for the application of optimization methods;
! plan and organize through self-management and time-management;
! assess issues with working as part of a team. |
Assessment Information
Examination 100% |
Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
Not entered |
Contacts
Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Katherine Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
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copyright 2010 The University of Edinburgh -
1 September 2010 6:19 am
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