BUS3900

Computational finance

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

Back to the 1999 Information Technology Handbooks