37006 Application of Numerical and Computational Approaches B
8cpRequisite(s): ( 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics) ) OR (37003c Application of Numerical and Computational Approaches A AND 24 credit points of completed study in 24.0000000000 Credit Points spk(s): STM91515 Core Subjects (M Quantitative Finance))
The lower case 'c' after the subject code indicates that the subject is a corequisite. See definitions for details.
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25874 Numerical Methods in Finance
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.