| Course Code and Name: SEEM4720/ ESTR4506 Computational Finance | ||||||||||||||
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| Course Objectives: This course provides a quantitative introduction to derivative markets from the computational perspective. We will focus on (i) quantitative characterization of market risk, (ii) the fundamental mechanics of derivative markets, (iii) risk neutral evaluation theory of asset pricing, (iv) numerical procedures related to derivative evaluation and risk management. Using MATLAB as a means of the numerical illustration, the course focuses on developing numerical problem-solving capabilities for the students. |
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| Course Outcomes: After completing the course, the students should be able to * understand fundamental mechanics of derivative markets and the economic impacts of derivative products in risk management; * apply the general principle of no-arbitrage asset pricing to evaluate structured products and to design related hedging strategies; and *perform implementations of basic numerical procedures for asset evaluation. | Programme Outcomes: (P1) The ability to apply knowledge of mathematics, science, and engineering appropriate to the degree discipline (K/S) (P2) The ability to design and conduct experiments, as well as to analyze and interpret data (K/S) (P3) The ability to design a system, component, or process to meet desired needs within realistic constraints, such as economic, environmental, social, political, ethical, health and safety, manufacturability and sustainability (K/S) (P4) The ability to function in multi-disciplinary teams (S/V) (P5) The ability to identify, formulate, and solve engineering problems (K/S) (P6) The understanding of professional and ethical responsibility (V) (P7) The ability to communicate effectively (S) (P8) The ability to understand the impact of engineering solutions in a global and societal context, especially the importance of health, safety and environmental considerations to both workers and the general public (V) (P9) The ability to recognize the need for, and to engage in life-long learning (V) (P10) The ability to stay abreast of contemporary issues (S/V) (P11) The ability to use the techniques, skills, and modern engineering tools necessary for engineering practice appropriate to the degree discipline (K/S) (P12) The ability to use the computer/IT tools relevant to the discipline along with an understanding of their processes and limitations (K/S/V) (P13) The ability to apply the skills relevant to the discipline of operations research and information technology and their applications in engineering and managerial decision making, especially in financial services, logistics and supply chain management, business information systems, and service engineering and management (K/S) K = Knowledge outcomes S = Skills outcomes V = Values and attitude outcomes |
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