P R Lajbcygier
6 points - One 2-hour lecture and one 1-hour tutorial per week - Second semester - Clayton - Prohibitions: BUS5900
Objectives Upon completion of this course the student should understand why computational techniques can provide solutions to problems in finance; what techniques are available and their advantages and disadvantages; how each computational technique works; which financial problems are amenable to solutions by computational techniques.
Synopsis Computational techniques considered in the subject will include exploratory data analysis, bookstrap, factor analysis, regression and Monte-Carlo simulation. Each technique will be introduced and then applied to a pertinent problem from finance. The financial problem domains studied will include derivates, fixed income, equities and foreign exchange.
Assessment Assignments: 20% - Tests: 20% - Examination (2 hours): 60% - Students must pass the examination in order to pass the subject
Recommended texts
Lajbcygier P R Computational finance School of Business Systems, Monash U, 1999
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