37003 Computational Methods and Model Implementation8cp
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics) OR 24 credit points of completed study in spk(s): STM91515 Core Subjects (M Quantitative Finance)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25871 Computational Methods and Model Implementation
This subject develops practical skills to solve computational problems arising in quantitative finance. It investigates solutions for risk management, derivatives pricing, equity and yield curve analysis, focusing on model implementation, estimation and calibration to market data. There is a research project component to the subject which is undertaken as an assessment task.
Detailed subject description.