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FINC299 Special Topic: Fundamentals of Quantitative Finance

Focuses on solving finance problems using quantitative methods including mathematical and numerical techniques and provides the skill-set required for work in quantitative analysis.

Quantitative finance focuses on solving finance problems by using quantitative methods including mathematical and numerical techniques, where mathematical finance formulae are published and widely used in financial engineering and computational finance algorithms are very useful in solving practical problems. During the past decade, many sophisticated mathematical and computational techniques have been developed for analysing financial markets. This paper offers students a skill set widely sought-after by prospective employers.

Paper title Special Topic: Fundamentals of Quantitative Finance
Paper code FINC299
Subject Finance
EFTS 0.15
Points 18 points
Teaching period Semester 2 (On campus)
Domestic Tuition Fees (NZD) $887.55
International Tuition Fees Tuition Fees for international students are elsewhere on this website.

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Prerequisite
FINC 102
Schedule C
Commerce
Contact

accountancyfinance@otago.ac.nz

Teaching staff

Lecturer: Edwin Ruan

Paper Structure

This paper covers two key themes:

  • Mathematical finance
  • Computational finance
Teaching Arrangements

Stata software will be available for the students via Student Desktop platform to use during the lectures.

Textbooks

There are no textbooks required, but a list of recommended textbooks in quantitative finance for reading is provided below.

  • Options, Futures, and Other Derivatives, by John Hull , 10th Edition, Pearson, 2017
  • Derivatives Markets, by Robert L. McDonald, L., 3rd edition, Pearson, 2013
  • Monte Carlo Simulation with Applications to Finance, by Hui Wang, CRC Press, 2012
  • Paul Wilmott on Quantitative Finance, by Paul Wilmott, 2nd Edition, John Wiley & Sons, 2006
Course outline

View the latest course outline

Graduate Attributes Emphasised

Information literacy, Interdisciplinary perspective, Critical thinking, Self-motivation
View more information about Otago's graduate attributes.

Learning Outcomes

Students who successfully complete the paper will:

  • Demonstrate the knowledge of probability theory
  • Acquire the knowledge of the Black–Scholes model
  • Understand how to model and simulate stock prices
  • Acquire the knowledge of exotic options and its pricing
  • Apply the knowledge on Monto Carlo simulation

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Timetable

Semester 2

Location
Dunedin
Teaching method
This paper is taught On Campus
Learning management system
Blackboard

Lecture

Stream Days Times Weeks
Attend
A1 Tuesday 13:00-14:50 28-34, 36-41
Thursday 13:00-14:50 28-34, 36-41