Module Catalogues, Xi'an Jiaotong-Liverpool University   
 
Module Code: MTH408
Module Title: Computational Methods in Finance II
Module Level: Level 4
Module Credits: 5.00
Academic Year: 2019/20
Semester: SEM2
Originating Department: Mathematical Sciences
Pre-requisites: N/A
   
Aims
The aim of this module is to introduce state of the art models and computational techniques widely used in quantitative finance and financial engineering with extensive programming.
Learning outcomes 
A. Understand, analyze and implement (with coding in MATLAB/Excel VBA/C++) Monte Carlo (MC/QMC/RQMC) simulation, generation of random variables, simulation of stochastic processes, discretization schemes, variance reduction techniques.

B. Understand, analyze, and implement numerical techniques (with coding in MATLAB/Excel VBA/C++) and models in pricing options, interest rate, and credit products.

C. Understand, analyze and implement (with coding in MATLAB/Excel VBA/C++) fundamental numerical techniques in portfolio optimization and risk quantification applications.

D. Understand, explain, and implement results from selected literature on computational finance.

Method of teaching and learning 
Lectures and computer labs using the software MATLAB/Excel VBA/C++, Article Readings (max of 5) related to lecture materials
Syllabus 
Part 1 Programming review

Part 2 Financial big data: handling high frequency data, web APIs, data-mining techniques.

Part 3 Monte Carlo simulation for option pricing: MC and QMC techniques

Part 4 Simulation of stochastic processes and discretization methods

Part 5 Portfolio optimization, machine learning and statistical arbitrage

Part 6 Risk quantification and numerical techniques: Value-at-Risk, Expected Shortfall, Conditional VaR, Copulas, etc.


Delivery Hours  
Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total
Hours/Semester 26    26      98  150 

Assessment

Sequence Method % of Final Mark
1 Assignment 25.00
2 Class Test 15.00
3 Final Exam 60.00

Module Catalogue generated from SITS CUT-OFF: 12/16/2019 8:07:31 AM