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25835 Computational Finance

UTS: Business: Finance and Economics
Credit points: 6 cp

Subject level: Postgraduate

Result Type: Grade and marks

Requisite(s): 25832 Financial Markets Instruments AND 25834 Portfolio Analysis
These requisites may not apply to students in certain courses.
There are also course requisites for this subject. See access conditions.

Handbook description

This subject develops skills to solve computational problems arising in quantitative finance. It investigates solutions for portfolio management, derivatives pricing, equity and yield curve analysis. It also examines basic concepts of procedural and object-oriented programming, and develops the application skills of these concepts to financial problems in Visual Basic/Excel and in C++.

Subject objectives/outcomes

On successful completion of this subject students should be able to:

  1. implement solutions for portfolio management, derivatives pricing, equity and yield curve analysis
  2. perform statistical and econometric computations on a PC
  3. understand basic concepts of procedural programming
  4. associate code and data using C++ classes
  5. use inheritance to improve code reusability
  6. apply these concepts to financial problems in Excel/VBA and in C++
  7. integrate existing C++ libraries into your own code to solve more involved problems
  8. use Excel as the interface for numerically intensive calculations implemented in C++

Recommended text(s)

Jackson, M. and M. Staunton (2001) Advanced Modelling in Finance using Excel and VBA, John Wiley & Sons. (This textbook covers the Excel/VBA part of the subject. For the C++ lectures, printed notes will be handed out in class.)

Faculty of Business, Guide to Writing Assignments, Faculty of Business, University of Technology, Sydney, 1999

Indicative references

Clewlow, L. and C. Strickland (1998) Implementing Derivatives Models, John Wiley & Sons.

Duffy, D.J. (2004) Financial Instrument Pricing Using C++, John Wiley & Sons.

Glasserman, P. (2003) Monte Carlo Methods in Financial Engineering, Springer Verlag.

Jäckel, P. (2002) Monte Carlo Methods in Finance, John Wiley & Sons.

Joshi, M.S. (2004) C++ Design Patterns and Derivatives Pricing, Cambridge University Press.

Lischner, R. (2003) C++ in a Nutshell, O'Reilly.

London, J. (2004) Modeling Derivatives in C++, John Wiley & Sons.

Shtern, V. (2000) Core C++: A Software Engineering Approach, Prentice Hall.

Stroustrup, B. (2000) The C++ Programming Language, Addison-Wesley.