37003 Application of Numerical and Computational Approaches A
8cpRequisite(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
Postgraduate
Description
Given the increasing complexity of financial markets, the corresponding mathematical models for analysing asset prices and market variables have also grown intricate. Closed-form solutions for problems in quantitative finance, such as derivatives pricing, hedging, portfolio optimisation, equity analysis, yield curve analysis, and risk management, are typically absent under complex models. Therefore, numerical and computational methods have become essential for deriving concrete insights from these intricate financial models.
This subject is one of two capstone subjects that concentrate on developing practical skills for solving quantitative finance problems using numerical and computational techniques. This subject enables students to conceptualise and articulate a quantitative finance problem based on current industry examples, devise and execute a suitable theoretical and computational framework for solving the problem and generate a specialised report communicating their analysis and findings to a target audience.
Detailed subject description.