|02240277||Faculty of Natural and Agricultural Sciences||Department: Mathematics and Applied Mathematics|
|Minimum duration of study: 1 year||Total credits: 135||NQF level: 08|
Minimum credits: 135
Core credits: 91
Elective credits: 44
The Postgraduate Coordinator has to approve the final programme composition for this programme.
• Monte Carlo Simulation
• Continuous Simulation
• System Dynamics
• Multi-objective Decision-making
• Operations Research
• Decision Analysis
• Discrete Simulation
Introduction to markets and instruments. Futures and options trading strategies, exotic options, arbitrage relationships, binomial option pricing method, mean variance hedging, volatility and the Greeks, volatility smiles, Black-Scholes PDE and solutions, derivative disasters.
Classical optimisation: Necessary and sufficient conditions for local minima. Equality constraints and Lagrange multipliers. Inequality constraints and the Kuhn-Tucker conditions. Application of saddle point theorems to the solutions of the dual problem. One-dimensional search techniques. Gradient methods for unconstrained optimisation. Quadratically terminating search algorithms. The conjugate gradient method. Fletcher-Reeves. Second order variable metric methods: DFP and BFCS. Boundary following and penalty function methods for constrained problems. Modern multiplier methods and sequential quadratic programming methods. Practical design optimisation project.
Exotic options, arbitrage relationships, Black-Scholes PDE and solutions, hedging and the Miller-Modigliani theory, static hedging, numerical methods, interest rate derivatives, BDT model, Vasicek and Hull-White models, complete markets, stochastic differential equations, equivalent Martingale measures.
A company's ability to remain competitive in modern times hinges increasingly on its ability to perform systems engineering. The technology and complexity of a company's products appears to steadily increase and with it, the risks that need to be managed. This module provides specialised knowledge to apply systems engineering by understanding the tools, processes and management fundamentals.
Projection matrices and sums of squares of linear sets. Estimation and the Gauss-Markov theorem. Generalised t- and F- tests.
The singular normal distribution. Distributions of quadratic forms. The general linear model. Multiple comparisons. Analysis of covariance. Generalised linear models. Analysis of categorical data.
Matrix algebra. Some multivariate measures. Visualising multivariate data. Multivariate distributions. Samples from multivariate normal populations. The Wishart distribution. Hotelling’s T ² statistic. Inferences about mean vectors.
Discriminant analysis and classification. Principal component analysis. The biplot. Multidimensional scaling. Factor analysis. Probabilistic clustering.
An introduction to Markowitz portfolio theory and the capital asset pricing model. Analysis of the deficiencies in these methods. Sensitivity based risk management. Standard methods for Value-at-Risk calculations. RiskMetrics, delta-normal methods, Monte Carlo simulations, back and stress testing.
A selection of special topics will be presented that reflects the expertise of researchers in the Department. The presentation of a specific topic is contingent on student numbers. Consult the website of the Department of Mathematics and Applied Mathematics for more details.
An analysis as well as an implementation (including computer programs) of methods are covered. Numerical linear algebra: Direct and iterative methods for linear systems and matrix eigenvalue problems: Iterative methods for nonlinear systems of equations. Finite difference method for partial differential equations: Linear elliptic, parabolic, hyperbolic and eigenvalue problems. Introduction to nonlinear problems. Numerical stability, error estimates and convergence are dealt with.
Study of main principles of analysis in the context of their applications to modelling, differential equations and numerical computation. Specific principles to be considered are those related to mathematical biology, continuum mechanics and mathematical physics as presented in the modules WTW 772, WTW 787 and WTW 776, respectively.
An analysis as well as an implementation (including computer programs) of methods is covered. Introduction to the theory of Sobolev spaces. Variational and weak formulation of elliptic, parabolic, hyperbolic and eigenvalue problems. Finite element approximation of problems in variational form, interpolation theory in Sobolev spaces, convergence and error estimates.
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