Postgraduate Course: Mathematical Programming (MATH11066)
Course Outline
| School |
School of Mathematics |
College |
College of Science and Engineering |
| Course type |
Standard |
Availability |
Not available to visiting 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
|
Taught in Gaelic? |
No |
| 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 |
|
Co-requisites |
|
| Prohibited Combinations |
|
Other requirements |
None
|
| Additional Costs |
None |
Course Delivery Information
|
| Delivery period: 2010/11 Semester 2, Not available to visiting students (SS1)
|
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 |
| Exam Information |
| Exam Diet |
Paper Name |
Hours:Minutes |
Stationery Requirements |
Comments |
| Main Exam Diet S2 (April/May) | | 2:00 | 20 sides | Fixed date. Joint with H-W. c/w U01881, P00709. HW would like 29 April 2010. |
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% |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords |
Not entered |
Contacts
| Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
|
copyright 2011 The University of Edinburgh -
13 January 2011 6:21 am
|
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