BUS5900

Advanced computational finance

P R Lajbcygier

6 points - One 2-hour lecture and one 1-hour tutorial per week - Second semester - Clayton

Objectives To provide the student with knowledge of advanced computational techniques for the solution of real problems in finance. Upon completion of this course the students should have some experience of independent research in computational finance. Therefore, the student should have the ability to both devise novel techniques and test their utility in a new financial domain. This requires the student to be proficient in the application of computational problems to the real problems of finance and to have a theoretical understanding of how each technique works. The emphasis is on computational model development for financial problems.

Synopsis The subject will include exploratory data analysis for financial problems, bootstrap for financial data and regression for financial problems. The real finance data studied will include derivatives, fixed income, equities and foreign exchange data. Each computational/ systems technique will be introduced and then developed and applied to a real problem using real data. A thorough theoretical introduction to each computational technique will be undertaken. Detailed analysis of each financial problem will be completed. The student will have a good understanding of both computational technique and financial problem domain upon completion of the course.

Assessment Examination (3 hours): 60% - Assignments: 40% - Students must pass the examination in order to pass the subject.

Recommended texts

Lajbcygier P R Advanced computational finance School of Business Systems, Monash U, 1999

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